On Extending the LP Computable Risk Measures to Account Downside Risk.

Adam Krzemienowski Wlodzimierz Ogryczak

Published in: Comput. Optim. Appl. (2005)

Keyphrases

risk measures
linear programming
risk averse
robust optimization
optimal solution
linear program
portfolio optimization
artificial intelligence
long term
portfolio selection
stochastic programming
bayesian networks