Fast gradient descent method for Mean-CVaR optimization
Garud Iyengar, Alfred Ka Chun Ma
| Year of publication: |
2013
|
|---|---|
| Authors: | Iyengar, Garud ; Ma, Alfred Ka Chun |
| Published in: |
Operations research models in banking management. - New York, NY : Springer. - 2013, p. 203-212
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009739298