Work

Credit risk optimization with Conditional Value-at-Risk criterion

Year: 2001

Type: article

Source: Mathematical Programming

DOI: 10.1007/pl00011399

Authors: Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev

Institution: 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: W2002736235

FWCI: 22.76

Cites: 15

Cited by: 295

Related to: 10