Bilinear loss function: quantile minimization of its normal distribution

zbMath1068.90584MaRDI QIDQ1882167

N. V. Tuzov, Yu. S. Kan

Publication date: 19 October 2004

Published in: Automation and Remote Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Stochastic programming (90C15)

Related Items (5)

A method for solving quantile optimization problems with a bilinear loss function ⋮ Selection of a fixed-income portfolio ⋮ Deterministic equivalents for the problems of stochastic programming with probabilistic criteria ⋮ Algorithm to solve the generalized Markowitz problem ⋮ Fundamentals of the linearization method for quantile analysis with small random parameters

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