Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation

By Meng F.   Sun J.   Goh M.  

Journal of Optimization Theory and Applications, Vol. 146, Iss. 2, 2010-08 ,pp. : 399-418

Springer Publishing Company

Access to resources Recommend Favorite

A note on conditional value at risk (CVaR)

By Howlett P.   Piantadosi J.  

Optimization, Vol. 56, Iss. 5-6, 2007-10 ,pp. : 629-632

Taylor & Francis Ltd

Access to resources Recommend Favorite

Investment optimization under constraints

By Long Nguyen-Thanh  

Mathematical Methods of Operations Research, Vol. 60, Iss. 2, 2004-10 ,pp. : 175-201

Springer Publishing Company

Access to resources Recommend Favorite

The Maximum Principle for Optimal Control Problems with State Constraints by R.V. Gamkrelidze: Revisited

By Arutyunov A.   Karamzin D.   Pereira F.  

Journal of Optimization Theory and Applications, Vol. 149, Iss. 3, 2011-06 ,pp. : 474-493

Springer Publishing Company

Access to resources Recommend Favorite

Worst-case CVaR based portfolio optimization models with applications to scenario planning

By Tong Xiaojiao   Wu Felix   Qi Liqun  

Optimization Methods and Software, Vol. 24, Iss. 6, 2009-12 ,pp. : 933-958

Taylor & Francis Ltd

Access to resources Recommend Favorite