CVaR (superquantile) norm: stochastic case

DOI10.1016/J.EJOR.2015.09.058zbMath1346.91266OpenAlexW1852025839MaRDI QIDQ320902

Stan Uryasev, Alexander Mafusalov

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.058

zbMATH Keywords

linear regressionCVaR norm\(L^p\) normrisk quadranglesuperquantile

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistical methods; risk measures (91G70) Convex programming (90C25) Probability distributions: general theory (60E05)

Related Items (11)

CVaR distance between univariate probability distributions and approximation problems ⋮ Cardinality of Upper Average and Its Application to Network Optimization ⋮ Checkerboard copula defined by sums of random variables ⋮ Fitting heavy-tailed mixture models with CVaR constraints ⋮ On risk measuring in the variance-gamma model ⋮ CVaR norm and applications in optimization ⋮ Regression analysis: likelihood, error and entropy ⋮ Spectral risk measures: the risk quadrangle and optimal approximation ⋮ Expected shortfall: heuristics and certificates ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns ⋮ Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization

Cites Work

• Unnamed Item
• Unnamed Item
• The least trimmed quantile regression
• CVaR norm and applications in optimization
• A note on the complexity of \(L _{p }\) minimization
• Robust linear optimization under general norms.
• Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
• Risk preference modeling with conditional average: An application to portfolio optimization
• Conditional median: a parametric solution concept for location problems
• Statistical decision problems. Selected concepts and portfolio safeguard case studies
• Generalized deviations in risk analysis
• Norm Aggregations and OWA Operators
• Risk Tuning with Generalized Linear Regression
• Least Median of Squares Regression
• Regression Quantiles
• Rank-Based Estimates in the Linear Model with High Breakdown Point
• Optimization with Stochastic Dominance Constraints
• Dual Stochastic Dominance and Related Mean-Risk Models
• Submajorization and the Geometry of Unordered Collections
• A Column Generation Approach to Radiation Therapy Treatment Planning Using Aperture Modulation
• Inequalities: theory of majorization and its applications

This page was built for publication: CVaR (superquantile) norm: stochastic case