Work

Algorithms for Optimization of Value-at-Risk

Year: 2002

Type: book-chapter

Source: Applied optimization

DOI: 10.1007/978-1-4757-5226-7_2

Authors: Nicklas Larsen, Helmut Mausser, Stanislav Uryasev

Institutions: KTH Royal Institute of Technology, University of Florida

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1606492702

FWCI: 7.041

Cites: 33

Cited by: 104

Related to: 10