Risk management with multiple VaR constraints
type: Item
instance of: scholarly article
title: Risk management with multiple VaR constraints
zbMATH Open document ID: 1418.91456
author: R. Smith
published in: Mathematical Methods of Operations Research
publication date: 2018-11-07T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6974534
zbMATH Keywords: value at risk
zbMATH Keywords: optimal portfolio
zbMATH Keywords: multiple risk constraints
zbMATH Keywords: risk management
zbMATH Keywords: Solvency II regulation
MaRDI profile type: Publication
full work available at URL: s00186-018-0637-1
OpenAlex ID: W2802838328
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Wikidata QID: Q129855762
DOI: 10.1007/S00186-018-0637-1
description: scientific article; zbMATH DE number 6974534