Incorporating asymmetric distributional information in robust value-at-risk optimization
10.1287/mnsc.1070.0769
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sg-nus-scholar.10635-441842023-10-27T07:46:00Z Incorporating asymmetric distributional information in robust value-at-risk optimization Natarajan, K. Pachamanova, D. Sim, M. MATHEMATICS DECISION SCIENCES Coherent risk measures Robust optimization Value-at-risk 10.1287/mnsc.1070.0769 Management Science 54 3 573-585 MSCIA 2013-10-09T06:18:04Z 2013-10-09T06:18:04Z 2008 Article Natarajan, K., Pachamanova, D., Sim, M. (2008). Incorporating asymmetric distributional information in robust value-at-risk optimization. Management Science 54 (3) : 573-585. ScholarBank@NUS Repository. https://doi.org/10.1287/mnsc.1070.0769 00251909 http://scholarbank.nus.edu.sg/handle/10635/44184 000254050600012 Scopus |
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Coherent risk measures Robust optimization Value-at-risk |
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Coherent risk measures Robust optimization Value-at-risk Natarajan, K. Pachamanova, D. Sim, M. Incorporating asymmetric distributional information in robust value-at-risk optimization |
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10.1287/mnsc.1070.0769 |
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MATHEMATICS |
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MATHEMATICS Natarajan, K. Pachamanova, D. Sim, M. |
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Natarajan, K. Pachamanova, D. Sim, M. |
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Natarajan, K. |
title |
Incorporating asymmetric distributional information in robust value-at-risk optimization |
title_short |
Incorporating asymmetric distributional information in robust value-at-risk optimization |
title_full |
Incorporating asymmetric distributional information in robust value-at-risk optimization |
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Incorporating asymmetric distributional information in robust value-at-risk optimization |
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Incorporating asymmetric distributional information in robust value-at-risk optimization |
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incorporating asymmetric distributional information in robust value-at-risk optimization |
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2013 |
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http://scholarbank.nus.edu.sg/handle/10635/44184 |
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