A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle.

Zachary Feinstein Birgit Rudloff

Published in: J. Glob. Optim. (2017)

Keyphrases

recursive algorithm
set valued
risk measures
hypothesis testing
upper bound
variational inequalities
dominance relation
belief functions
statistical tests
portfolio optimization
linear program
risk averse
lower bound
portfolio selection
convex hull
machine learning
real numbers
expert systems
cooperative