Polyhedral coherent risk measures and investment portfolio optimization (Q946748)
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scientific article; zbMATH DE number 5346504
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polyhedral coherent risk measures and investment portfolio optimization |
scientific article; zbMATH DE number 5346504 |
Statements
Polyhedral coherent risk measures and investment portfolio optimization (English)
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24 September 2008
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polyhedral coherent risk measure
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conditional value-at-risk
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optimal portfolio problem
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linear programming technique
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catastrophic flood
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