Risk Measures in Optimization Problems via Empirical Estimates
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References listed on IDEAS
- Michal Houda & Vlasta Kaňková, 2012. "Empirical Estimates in Economic and Financial Optimization Problems," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(29).
- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
More about this item
KeywordsStatic stochastic optimization problems; linear and nonlinear dependence; risk measures; thin and heavy tails; Wasserstein metric; L1 norm; empirical distribution function;
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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