Equivalence of the problems with quantile and integral quantile criteria

DOI10.1134/S0005117913020057zbMath1273.90134MaRDI QIDQ2392438

A. I. Kibzun, A. I. Chernobrovov

Publication date: 1 August 2013

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

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Algorithm to solve the generalized Markowitz problem
• Deterministic equivalents for the problems of stochastic programming with probabilistic criteria
• Comparison of VaR and CVaR criteria
• Optimization with Stochastic Dominance Constraints

This page was built for publication: Equivalence of the problems with quantile and integral quantile criteria