Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
type: Item
instance of: scholarly article
title: Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
zbMATH Open document ID: 1142.91593
author: Karthik Natarajan
author: Melvyn Sim
author: Dessislava A. Pachamanova
published in: Management Science
publication date: 2008-09-05T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5322343
zbMATH Keywords: value-at-risk
zbMATH Keywords: robust optimization
zbMATH Keywords: coherent risk measures
MaRDI profile type: Publication
full work available at URL: mnsc.1070.0769
OpenAlex ID: W2156844203
Wikidata QID: Q93620092
DBLP publication ID: journals/mansci/NatarajanPS08
DOI: 10.1287/MNSC.1070.0769
description: scientific article