Stochastic optimization for allocation problems with shortfall risk constraints (Q5430355)
From MaRDI portal
scientific article; zbMATH DE number 5220048
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimization for allocation problems with shortfall risk constraints |
scientific article; zbMATH DE number 5220048 |
Statements
Stochastic optimization for allocation problems with shortfall risk constraints (English)
0 references
16 December 2007
0 references
risk misspecification errors
0 references
portfolio optimization
0 references
stochastic optimization
0 references
shortfall constraint
0 references
value at risk
0 references
