Publications
3 shownOptimization of conditional value-at-risk
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-a...
Convex Analysis
Available for the first time in paperback, R. Tyrrell Rockafellar's classic study presents readers with a coherent branch of nonlinear mathematical analysis that is especially s...
Frequent Co-Authors
Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 16,887
- Institution
- University of Washington
External Links
Identifiers
- ORCID
- 0000-0003-1703-5069
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.