Conditional value-at-risk under ellipsoidal uncertainties

MaRDI QIDQ5506161zbMATH OpenFDO

Authors

Publication date 28 January 2009

zbMATH Keywords

clustered scenariosconditional value-at-risk (CVaR)ellipsoidal uncertaintiesinterior point algorithmportfolio managementrisk managementvalue-at-risk (VaR)

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(5)

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• A note on conditional value at risk (CVaR)
• Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation

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