Conditional Value-at-Risk: optimization algorithms and applications

IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Volumn , Issue , 2000, Pages 49-57

  Uryasev, Stanislav ^a  

^a UNIVERSITY OF FLORIDA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; FINANCE; LINEAR PROGRAMMING; RISK ASSESSMENT;

CONDITIONAL VALUE AT RISK; OPTIMIZATION ALGORITHMS; RISKMETRICS METHODOLOGY; VALUE AT RISK;

RISK MANAGEMENT;

EID: 0033731507     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (14)