Robustness in the optimization of risk measures
Year of publication: |
2022
|
---|---|
Authors: | Embrechts, Paul ; Schied, Alexander ; Wang, Ruodu |
Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 1, p. 95-110
|
Subject: | financial regulation | optimization | Financial Engineering | expected shortfall | robustness | value-at-risk | Theorie | Theory | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Messung | Measurement | Financial engineering | Risikomanagement | Risk management | Risiko | Risk |
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