Expected shortfall : heuristics and certificates
Year of publication: |
16 June 2018
|
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Authors: | Ramponi, Federico Alessandro ; Campi, Marco C. |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 267.2018, 3 (16.6.), p. 1003-1013
|
Subject: | Stochastic programming | Convex programming | Scenario approach | Expected shortfall | CVaR | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Heuristik | Heuristics | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
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