Risk management in portfolio applications of non-convex stochastic programming

Author:

Pang Li-Ping,Chen Shuang,Wang Jin-He

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference24 articles.

1. T. Adrian, H.S. Shin, Procyclical leverage and value-at-risk. National Bureau of Economic Research, 2013.

2. Credit risk optimization with conditional value-at-risk criterion;Andersson;Math. Programming,2001

3. CVaR minimization by the SRA algorithm;Ágoston;Cent. Eur. J. Oper. Res.,2012

4. Thinking coherently: generalised scenarios rather than VAR should be used when calculating regulatory capital;Artzner;Risk-London-Risk Mag. Limited,1997

5. Coherent measures of risk;Artzner;Math. Finance,1999

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