Optimization of expected shortfall on convex sets (Q889467)
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scientific article; zbMATH DE number 6505678
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimization of expected shortfall on convex sets |
scientific article; zbMATH DE number 6505678 |
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Optimization of expected shortfall on convex sets (English)
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6 November 2015
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expected shortfall
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coherent risk measures
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expectation-bounded risk measures
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saddle-points
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subgradient
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0.8946595
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0.8879144
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0.8866705
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0.8866121
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0.8865504
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