Generalized deviations in risk analysis
Year of publication: |
2006
|
---|---|
Authors: | Rockafellar, R. ; Uryasev, Stan ; Zabarankin, Michael |
Published in: |
Finance and Stochastics. - Springer. - Vol. 10.2006, 1, p. 51-74
|
Publisher: |
Springer |
Subject: | Risk management | deviation measures | coherent risk measures | value-at-risk | conditional value-at-risk | portfolio optimization | convex analysis |
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