Convex risk measures for portfolio optimization and concepts of flexibility

Mathematical Programming

Volumn 104, Issue 2-3, 2005, Pages 541-559

  Lüthi, Hans Jakob ^a   Doege, Jörg ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTATIONAL METHODS; FINANCE; MATHEMATICAL PROGRAMMING; RISK MANAGEMENT;

AXIOMATIC FOUNDATION; CONVEX ANALYSIS; NESTEROV'S SMOOTHING; PORTFOLIO OPTIMIZATION;

OPTIMIZATION;

EID: 27244458190     PISSN: 00255610     EISSN: 14364646     Source Type: Journal    
DOI: 10.1007/s10107-005-0628-x     Document Type: Article

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