Computational aspects of minimizing conditional value-at-risk
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Publication:926312
DOI10.1007/s10287-005-0042-0zbMath1203.90117OpenAlexW2069009481MaRDI QIDQ926312
János Mayer, Alexandra Künzi-Bay
Publication date: 27 May 2008
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/173791/1/Kunzi-Bay-Mayer2006_Article_ComputationalAspectsOfMinimizi.pdf
stochastic programmingportfolio optimizationstochastic modelsfinancerisk managementconditional value-at-riskmathematical programming algorithms
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