Worst-Case Range Value-at-Risk with Partial Information.
Lujun LiHui ShaoRuodu WangJingping YangPublished in: SIAM J. Financial Math. (2018)
Keyphrases
- partial information
- worst case
- incomplete information
- wide range
- average case
- upper bound
- np hard
- risk management
- risk factors
- greedy algorithm
- error bounds
- lower bound
- range data
- approximation algorithms
- space complexity
- high risk
- risk measures
- decision making
- general purpose
- dynamic programming
- evolutionary algorithm
- risk averse