Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization

Optimization

Volumn 55, Issue 5-6, 2006, Pages 459-479

  Beliakov, Gleb ^a   Bagirov, Adil ^b  

^a DEAKIN UNIVERSITY   (Australia)

^b UNIVERSITY OF BALLARAT   (Australia)

Author keywords

Conditional Value at risk; Expected shortfall; Non smooth optimization; Numerical optimization; Portfolio optimization

Indexed keywords

EID: 33750885729     PISSN: 02331934     EISSN: 10294945     Source Type: Journal    
DOI: 10.1080/02331930600816353     Document Type: Article

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