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Generalized deviations in risk analysis |
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| Authors: | |
| Institution: | (1) Department of Mathematics, University of Washington, Box 354350, WA 98195-4350 Seattle, USA;(2) Department of Industrial and Systems Engineering, University of Florida, 303 Weil Hall, P.O. Box 116595, FL 32611-6595 Gainesville, USA;(3) Department of Mathematical Sciences, Stevens Institute of Technology, Castle Point on Hudson, NJ 07030 Hoboken, USA |
| Abstract: | |
| Keywords: | Risk management deviation measures coherent risk measures value-at-risk conditional value-at-risk portfolio optimization convex analysis |
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