Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns (Q2794915)
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scientific article; zbMATH DE number 6554590
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns |
scientific article; zbMATH DE number 6554590 |
Statements
11 March 2016
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portfolio optimization
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robust optimization
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linear programming
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conditional value-at-risk
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Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns (English)
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