CVaR (superquantile) norm: stochastic case (Q320902)

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CVaR (superquantile) norm: stochastic case
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    Statements

    title
    CVaR (superquantile) norm: stochastic case (English)
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    author
    Alexander Mafusalov
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    Stan Uryasev
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    publication date
    7 October 2016
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    zbMATH Keywords
    CVaR norm
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    \(L^p\) norm
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    superquantile
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    risk quadrangle
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    linear regression
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    60E05
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    62J05
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    90C25
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    zbMATH DE Number
    6635764
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