Shortfall as a risk measure: properties, optimization and applications-Reference-Cited by-同舟云学术

Shortfall as a risk measure: properties, optimization and applications

Published:2004-04 Issue:7 Volume:28 Page:1353-1381
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Bertsimas Dimitris,Lauprete Geoffrey J.,Samarov Alexander

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference32 articles.

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5. Bertsimas, D., Popescu, I., 1999. Optimal inequalities in probability: a convex programming approach. Working paper, Operation Research Center, MIT, Cambridge, MA.

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