CVaR distance between univariate probability distributions and approximation problems
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Cites work
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- A modified Kolmogorov-Smirnov test sensitive to tail alternatives
- CVaR (superquantile) norm: stochastic case
- CVaR norm and applications in optimization
- Calculation of the Wasserstein Distance Between Probability Distributions on the Line
- Certainty Equivalents for Three-Point Discrete-Distribution Approximations
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- On the Kolmogorov-Smirnov Limit Theorems for Empirical Distributions
- Optimal Transport
- Random variables, monotone relations, and convex analysis
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- Reexamining discrete approximations to continuous distributions
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- Three-Point Approximations for Continuous Random Variables
Cited in
(6)- Solving bi-objective uncertain stochastic resource allocation problems by the CVaR-based risk measure and decomposition-based multi-objective evolutionary algorithms
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Discrete approximations of continuous probability distributions obtained by minimizing Cramér-von Mises-type distances
- scientific article; zbMATH DE number 1004218 (Why is no real title available?)
- Fitting heavy-tailed mixture models with CVaR constraints
- Kantorovich-Rubinstein distance minimization: application to location problems
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