Open AccessWorst-case analysis of Gini mean difference safety measure
Author(s) -
Ruchika Sehgal,
Aparna Mehra
Publication year - 2021
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2020037
Subject(s) - portfolio , portfolio optimization , mathematics , measure (data warehouse) , risk measure , expected shortfall , value at risk , interval (graph theory) , semidefinite programming , standard deviation , econometrics , statistics , mathematical optimization , computer science , risk management , economics , financial economics , finance , data mining , combinatorics