Satisfying convex risk limits by trading.
Kasper LarsenTraian A. PirvuSteven E. ShreveReha H. TütüncüPublished in: Finance Stochastics (2005)
Keyphrases
- empirical risk
- convex hull
- risk management
- high risk
- electronic commerce
- financial markets
- decision making
- convex sets
- risk minimization
- risk analysis
- convex optimization
- stock market
- convexity properties
- minimum risk
- market data
- risk averse
- portfolio optimization
- decision function
- trading strategies
- stock exchange
- early warning
- risk factors
- risk assessment
- piecewise linear
- semidefinite
- investment strategies
- risk measures
- electricity markets