8 search results - page 2 / 2 » Instability of Portfolio Optimization under Coherent Risk Me... |
IOR
2006
13 years 6 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
MP
2008
13 years 6 months ago
2008
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...
SIGIR
2009
ACM
14 years 16 days ago
2009
ACM
This paper studies document ranking under uncertainty. It is tackled in a general situation where the relevance predictions of individual documents have uncertainty, and are depen...