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Robustness in the Optimization of Risk Measures - MaRDI portal

Robustness in the Optimization of Risk Measures (Q5031002)

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scientific article; zbMATH DE number 7476269
Language Label Description Also known as
English
Robustness in the Optimization of Risk Measures
scientific article; zbMATH DE number 7476269

    Statements

    title
    Robustness in the Optimization of Risk Measures (English)
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    author
    Paul Embrechts
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    Alexander Schied
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    Ruodu Wang
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    publication date
    18 February 2022
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    zbMATH Keywords
    financial engineering
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    robustness
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    value-at-risk
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    expected shortfall
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    optimization
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    financial regulation
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    describes a project that uses
    ROME
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    QRM
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    cites work
    Q3182207
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    Q4503250
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    Q4085497
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    Q5253267
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    Q3528030
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    Identifiers

    zbMATH DE Number
    7476269
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    OpenAlex ID
    W3213769946
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    arXiv ID
    1809.09268
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