Moment calculations for piecewise-defined functions : an application to stochastic optimization with coherent risk measures
E. Borgonovo; L. Peccati
| Year of publication: |
2010
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|---|---|
| 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
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| Subject: | Theorie | Theory | Stochastischer Prozess | Stochastic process | Experiment | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003964884