Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Theoretical Computer Science,Software
Link
https://epubs.siam.org/doi/pdf/10.1137/16M1105165
Reference43 articles.
1. Coherent Measures of Risk
2. Coherent multiperiod risk adjusted values and Bellman’s principle
3. An Expected Gain-Confidence Limit Criterion for Portfolio Selection
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5. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
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