Epi-regularization of risk measures
Year of publication: |
2020
|
---|---|
Authors: | Kouri, Drew P. ; Surowiec, Thomas M. |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 45.2020, 2, p. 774-795
|
Subject: | risk averse | coherent risk measures | uncertainty quantification | stochastic optimization | infimal convolution | PDE-constrained optimization | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Stochastischer Prozess | Stochastic process | Messung | Measurement | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Entscheidung unter Risiko | Decision under risk |
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