VaR as the CVaR sensitivity: Applications in risk optimization.
Alejandro BalbásBeatriz BalbásRaquel BalbásPublished in: J. Comput. Appl. Math. (2017)
Keyphrases
- risk measures
- robust optimization
- portfolio optimization
- risk averse
- sensitivity analysis
- stochastic programming
- global optimization
- chance constraints
- optimization problems
- mathematical programming
- learning algorithm
- combinatorial optimization
- portfolio selection
- multi objective
- optimization algorithm
- optimization methods