Statistical Decision Problems Selected Concepts and Portfolio Safegu
Statistical Decision Problems presents a quick and concise introduction into the theory of risk, deviation and error measures that play a key role in statistical decision problems. It introduces state-of-the-art practical decision making through twenty-on
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Michael Zabarankin Stan Uryasev
Statistical Decision Problems Selected Concepts and Portfolio Safeguard Case Studies
Springer Optimization and Its Applications VOLUME 85 Managing Editor Panos M. Pardalos (University of Florida) Editor–Combinatorial Optimization Ding-Zhu Du (University of Texas at Dallas) Advisory Board J. Birge (University of Chicago) C.A. Floudas (Princeton University) F. Giannessi (University of Pisa) H.D. Sherali (Virginia Polytechnic and State University) T. Terlaky (McMaster University) Y. Ye (Stanford University)
Aims and Scope Optimization has been expanding in all directions at an astonishing rate during the last few decades. New algorithmic and theoretical techniques have been developed, the diffusion into other disciplines has proceeded at a rapid pace, and our knowledge of all aspects of the field has grown even more profound. At the same time, one of the most striking trends in optimization is the constantly increasing emphasis on the interdisciplinary nature of the field. Optimization has been a basic tool in all areas of applied mathematics, engineering, medicine, economics, and other sciences. The series Springer Optimization and Its Applications publishes undergraduate and graduate textbooks, monographs and state-of-the-art expository work that focus on algorithms for solving optimization problems and also study applications involving such problems. Some of the topics covered include nonlinear optimization (convex and nonconvex), network flow problems, stochastic optimization, optimal control, discrete optimization, multi-objective programming, description of software packages, approximation techniques and heuristic approaches.
For further volumes: http://www.springer.com/series/7393
Michael Zabarankin • Stan Uryasev
Statistical Decision Problems Selected Concepts and Portfolio Safeguard Case Studies
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Michael Zabarankin Department of Mathematical Sciences Stevens Institute of Technology Hoboken, NJ, USA
Stan Uryasev Department of Industrial and Systems Engineering University of Florida Gainesville, FL, USA
ISSN 1931-6828 ISBN 978-1-4614-8470-7 ISBN 978-1-4614-8471-4 (eBook) DOI 10.1007/978-1-4614-8471-4 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2013946847 Mathematics Subject Classification (2010): 62C05, 62J05, 62J12, 62P05, 62P30, 90B50, 90B90, 90C05, 90C11, 90C20, 90C26, 90C90, 91B06, 91B30, 91B70 © Springer Science+Business Media New York 2014 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied speci
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