Shortfall as a risk measure : properties, optimization and applications
Dimitris Bertsimas; Geoffrey J. Lauprete; Alexander Samarov
| Year of publication: |
2004
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|---|---|
| Authors: | Bertsimas, Dimitris ; Lauprete, Geoffrey J. ; Samarov, Alexander |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 28.2004, 7, p. 1353-1381
|
| Subject: | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure |
| Extent: | graph. Darst |
|---|---|
| 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/10001880835