Restricted risk measures and robust optimization
Year of publication: |
2015
|
---|---|
Authors: | Lagos, Guido ; Espinoza, Daniel ; Moreno, Eduardo ; Vielma, Juan Pablo |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 241.2015, 3 (16.3.), p. 771-782
|
Subject: | Risk management | Stochastic programming | Uncertainty modeling | Theorie | Theory | Risiko | Risk | Risikomanagement | Stochastischer Prozess | Stochastic process | Experiment | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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