Journal of Nonsmooth Analysis and Optimization
Article
Article
Subjects / keywords: Science
Idioma English
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Journal of Nonsmooth Analysis and Optimization
Article
Article
Subjects / keywords: nonsmooth analysis, nonsmooth optimization, variational analysis, equilibrium problems, stochastic optimization, bilevel optimization; Science
Idioma English
Acceso abiertoRuta libre sin proxy. Acceso recomendado cuando no hay suscripción activa.
Open AccessOptimization of conditional value-at-risk
Article
Article
A new approach to optimizing or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-...
Idioma English
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