Robust scenario-based value-at-risk optimization

DOI10.1007/s10479-015-1822-8zbMath1341.91131OpenAlexW2273410570MaRDI QIDQ286009

Oleksandr Romanko, Helmut E. Mausser

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1822-8

zbMATH Keywords

optimizationalgorithmsrobustnessvalue-at-riskrisk management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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