Epi-regularization of risk measures
Drew P. Kouri, Thomas M. Surowiec
| 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 | Theorie | Theory | Risiko | Risk | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Messung | Measurement | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2019.1013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012242555