SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Algorithms for Optimization of Value-at-Risk · Study

ChapterShelves

ChapterAlgorithms for Optimization of Value-at-Risk

Nicklas Larsen2002

Chapter2002

Algorithms for Optimization of Value-at-Risk

Nicklas Larsen · Helmut E. Mausser · Stan Uryasev

104 citations·0/0 files stored·Applied optimization

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 104 citations exist upstream.

References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2011Introduction to Stochastic Programming 2002Conditional value-at-risk for general loss distributions 2010Stochastic Programming 1998Introduction to Stochastic Programming 1995Stochastic Programming 1997An Overview of Value at Risk

Cited by

2012What are robust strategies in the face of uncertain climate threshold responses?2005Computational aspects of minimizing conditional value-at-risk 2006A data-driven optimization heuristic for downside risk minimization 2019Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures 2012Portfolio value-at-risk optimization for asymmetrically distributed asset returns 2009Portfolio selection models: a review and new directions 2014

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2000Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)chapter · 17 shared references 2001Asset/Liability Management for Pension Funds Using CVaR Constraintsarticle · 12 shared references 2005Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recoursearticle · 9 shared references 2010Modeling and optimization of riskarticle · 9 shared references 2007Higher moment coherent risk measuresarticle · 9 shared references 2004Progress in Risk Measurement 1article · 9 shared references

Details

Year2002

Typechapter

Published2002-01-01

VenueApplied optimization

ISSN-L1384-6485

Languageen

Citations104

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1007/978-1-4757-5226-7_2

openalex_workW1606492702

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Stochastic efficiency analysis with a reliability consideration

2004On the global minimization of the value-at-risk