The computation of the worst conditional expectation.

DOI10.1016/S0377-2217(02)00905-0zbMath1043.90051OpenAlexW2013359905MaRDI QIDQ1427561

Stefano Benati

Publication date: 14 March 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00905-0

zbMATH Keywords

Knapsack problemCoherent measures of riskFractional integer programming

Mathematics Subject Classification ID

Integer programming (90C10) Fractional programming (90C32) Combinatorial optimization (90C27)

Related Items (5)

PVaR: A New Risk Measure for Financial Investments ⋮ A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ A relative robust approach on expected returns with bounded CVaR for portfolio selection ⋮ Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

Uses Software

• Knapsack
• RiskMetrics

Cites Work

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• Hyperbolic 0-1 programming and query optimization in information retrieval
• Variance vs downside risk: Is there really that much difference?
• New trends in exact algorithms for the \(0-1\) knapsack problem
• The maximum capture problem with random utilities: problem formulation and algorithms
• Coherent Measures of Risk
• Stochastic Network Programming for Financial Planning Problems
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• Screening location strategies to reduce exchange rate risk

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