Auflistung Stochastic Programming E-print Series (SPEPS) nach Schlagwort "risk measure"
Anzeige der Publikationen 1-2 von 2
-
2011-11-28BuchMultistage Optimization We provide a new identity for the multistage Average Value-at-Risk. The identity is based on the conditional Average Value-at-Risk at random level, which is introduced. It is of interest in situations, where the information ...
-
2011-11-28BuchOn the Geometry of Acceptability Functionals In this paper we discuss the geometry of acceptability functionals or risk measures. The dependenceof the random variable is investigated first. The main contribution and focus of this paper is to studyhow acceptability ...