Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures
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Publication:4602342
DOI10.1137/16M1105165zbMath1387.90248OpenAlexW2777269051MaRDI QIDQ4602342
Bogdan Grechuk, Michael Zabarankin
Publication date: 10 January 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1105165
sensitivity analysisportfolio optimizationrisk measureenvelope theoremdeviation measureerror measure
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