Optimization with Multivariate Conditional Value-at-Risk Constraints

DOI10.1287/opre.2013.1186zbMath1291.91124OpenAlexW2155581291MaRDI QIDQ5166262

Nilay Noyan, Gábor Rudolf

Publication date: 26 June 2014

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

Full work available at URL: http://pubsonline.informs.org/doi/abs/10.1287/opre.2013.1186

zbMATH Keywords

multiple criteriacoherent risk measuresmultivariate risk aversionstochastic dominanceconditional value-at-riskcut generationKusuoka representation

Mathematics Subject Classification ID

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