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Conditional value-at-risk approximation to value-at-risk constrained programs: A remedy via Monte Carlo
L. Jeff Hong
, Zhaolin Hu
, Liwei Zhang
Research output
:
Contribution to journal
›
Article
›
peer-review
11
Scopus citations
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Dive into the research topics of 'Conditional value-at-risk approximation to value-at-risk constrained programs: A remedy via Monte Carlo'. Together they form a unique fingerprint.
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Keyphrases
At-risk
100%
Monte Carlo
100%
Conditional Value
100%
Monte Carlo Method
10%
Optimization Problem
10%
Numerical Experiments
10%
Approximation Approach
10%
Poor Performance
10%
Convexity
10%
Target Problem
10%
Subadditivity
10%
Globally Optimal
10%
Conservative Approximation
10%
Study Optimization
10%
Sequential Convex Approximation
10%
Coherent Risk Measures
10%
Mathematics
Value at Risk
100%
Conditional Value At Risk
100%
Monte Carlo
100%
Risk Measure
16%
Numerical Experiment
16%
Engineering
Numerical Experiment
100%
Optimisation Problem
100%
Subadditivity
100%
Computer Science
Approximation (Algorithm)
100%
Value at Risk
100%
Risk Constraint
20%
Optimization Problem
10%