Stochastic optimization for allocation problems with shortfall risk constraints

DOI10.1002/ASMB.671zbMath1143.91014OpenAlexW2094301787MaRDI QIDQ5430355

Roberto Casarin, Monica Billio

Publication date: 16 December 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.671

zbMATH Keywords

stochastic optimizationportfolio optimizationvalue at riskrisk misspecification errorsshortfall constraint

Mathematics Subject Classification ID

Related Items (1)

Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints

Cites Work

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