Moment calculations for piecewise-defined functions : an application to stochastic optimization with coherent risk measures
Year of publication: |
2010
|
---|---|
Authors: | Borgonovo, Emanuele ; Peccati, Lorenzo |
Published in: |
Annals of operations research. - Dordrecht, The Netherlands : Springer Nature B.V., ISSN 0254-5330, ZDB-ID 252629-3. - Vol. 176.2010, p. 235-258
|
Subject: | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Risiko | Risk |
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