CVaR proxies for minimizing scenario-based Value-at-Risk

Journal of Industrial and Management Optimization 2014 / 2 Vol. 10; Iss. 4

CVaR proxies for minimizing scenario-based Value-at-Risk

Mausser, Helmut, Romanko, Oleksandr
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Volume:
10
Language:
english
Journal:
Journal of Industrial and Management Optimization
DOI:
10.3934/jimo.2014.10.1109
Date:
February, 2014
File:
PDF, 996 KB
english, 2014
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