Open AccessCoherent Worst-Case Value-at-Risk with Applications to Robust Portfolio Optimization
Author(s) -
Guimei Luo
Publication year - 2012
Publication title -
applied mathematics research express
Language(s) - English
Resource type - Journals
eISSN - 1687-1200
pISSN - 1687-1197
DOI - 10.1093/amrx/abs018
Subject(s) - portfolio optimization , risk measure , measure (data warehouse) , robust optimization , portfolio , mathematical optimization , coherent risk measure , value (mathematics) , spectral risk measure , optimization problem , computer science , value at risk , dynamic risk measure , mathematics , risk management , data mining , machine learning , economics , financial economics , management
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