ERM Resource
CVAR proxies for minimizing scenario-based value-at-risk
CVAR proxies for minimizing scenario-based value-at-risk Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Abstract. Minimizing VaR, as estimated from a set of scenarios, is a di -cult integer programming problem. Solving the problem to optimality …
Last updated: 14 Sep 2017