A multi-periods multiobjective conditional value-at-risk model

zbMATH Open1249.91041MaRDI QIDQ2885636

Min Jiang, Zhiqing Meng

Publication date: 1 June 2012

Published in: Journal of Systems Science and Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

loss functionconditional value-at-riskmulti-periods risk decision makingmultiobjective CVaR model

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Related Items (4)

Vector-valued multivariate conditional value-at-risk ⋮ Title not available (Why is that?) ⋮ Computational Science - ICCS 2004 ⋮ Approximation methods for multiple period Value at Risk and Expected Shortfall prediction

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