Worst-Case Value at Risk of Nonlinear Portfolios.
Steve ZymlerDaniel KuhnBerç RustemPublished in: Manag. Sci. (2013)
Keyphrases
- worst case
- portfolio optimization
- upper bound
- lower bound
- average case
- investment decisions
- error bounds
- portfolio selection
- risk management
- np hard
- high risk
- decision making
- investment strategies
- special case
- minimum risk
- worst case analysis
- information systems
- expected utility
- risk assessment
- computational complexity