A Reverse ES (CVaR) Optimization Formula

DOI10.1080/10920277.2023.2249524MaRDI QIDQ6640255zbMATH OpenFDO

Authors Yuanying Guan, Zhanyi Jiao, Ruodu Wang

Publication date 18 November 2024

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2023.2249524

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• A General Definition of the Lorenz Curve
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Bayes risk, elicitability, and the Expected Shortfall
• Characterization, robustness, and aggregation of signed Choquet integrals
• Coherent measures of risk
• Convex risk functionals: representation and applications
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
• Maxmin expected utility with non-unique prior
• Modeling, measuring and managing risk
• Probability. Theory and examples.
• Quantitative risk management. Concepts, techniques and tools
• Seven proofs for the subadditivity of expected shortfall
• Some remarks on the value-at-risk and the conditional value-at-risk
• Stochastic finance. An introduction in discrete time.
• Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
• Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
• The Dual Theory of Choice under Risk
• Theory of games and economic behavior.
• Worst-case conditional value-at-risk with application to robust portfolio management
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(6)

• A new characterization of second-order stochastic dominance
• Generalized expected-shortfalls based on distortion risk measures
• Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
• Risk exchange under infinite-mean Pareto models
• Counter-monotonic risk sharing with heterogeneous distortion risk measures
• Improved thresholds for e-values

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