Shortfall as a risk measure: Properties, optimization and applications

Journal of Economic Dynamics and Control

Volumn 28, Issue 7, 2004, Pages 1353-1381

  Bertsimas, Dimitris ^a   Lauprete, Geoffrey J ^b   Samarov, Alexander ^c  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c UNIVERSITY OF MASSACHUSETTS LOWELL   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0346343058     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(03)00109-X     Document Type: Article

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