Incorporating asymmetric distributional information in robust value-at-risk optimization

10.1287/mnsc.1070.0769

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Bibliographic Details
Main Authors:	Natarajan, K., Pachamanova, D., Sim, M.
Other Authors:	DECISION SCIENCES
Format:	Article
Published:	2013
Subjects:	Coherent risk measures Robust optimization Value-at-risk
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/44184
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-44184
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spelling	sg-nus-scholar.10635-441842024-11-13T12:04:08Z Incorporating asymmetric distributional information in robust value-at-risk optimization Natarajan, K. Pachamanova, D. Sim, M. DECISION SCIENCES MATHEMATICS 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
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Coherent risk measures Robust optimization Value-at-risk
spellingShingle	Coherent risk measures Robust optimization Value-at-risk Natarajan, K. Pachamanova, D. Sim, M. Incorporating asymmetric distributional information in robust value-at-risk optimization
description	10.1287/mnsc.1070.0769
author2	DECISION SCIENCES
author_facet	DECISION SCIENCES Natarajan, K. Pachamanova, D. Sim, M.
format	Article
author	Natarajan, K. Pachamanova, D. Sim, M.
author_sort	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
title_fullStr	Incorporating asymmetric distributional information in robust value-at-risk optimization
title_full_unstemmed	Incorporating asymmetric distributional information in robust value-at-risk optimization
title_sort	incorporating asymmetric distributional information in robust value-at-risk optimization
publishDate	2013
url	http://scholarbank.nus.edu.sg/handle/10635/44184
_version_	1821199855649816576

Incorporating asymmetric distributional information in robust value-at-risk optimization

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