Risk measures and robust optimization problems

Stochastic Models

Volumn 22, Issue 4, 2006, Pages 753-831

  Schied, Alexander ^a,b  

^a Institut fur Mathematik   (Germany)

^b TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Convex measure of risk; Knightian uncertainty; Law invariant risk measure; Model uncertainty; Optimal investment; Risk measure; Value at Risk

Indexed keywords

FINANCIAL DATA PROCESSING; INVESTMENTS; MATHEMATICAL MODELS; OPTIMIZATION; PROBLEM SOLVING; STRATEGIC PLANNING;

CONVEX MEASURE OF RISK; KNIGHTIAN UNCERTAINTY; LAW-INVARIANT RISK MEASURE; MODEL UNCERTAINTY;

RISK ASSESSMENT;

EID: 33748640961     PISSN: 15326349     EISSN: 15324214     Source Type: Journal    
DOI: 10.1080/15326340600878677     Document Type: Conference Paper

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