Fitting heavy-tailed mixture models with CVaR constraints (Q2178951)
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scientific article; zbMATH DE number 7198997
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| English | Fitting heavy-tailed mixture models with CVaR constraints |
scientific article; zbMATH DE number 7198997 |
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Fitting heavy-tailed mixture models with CVaR constraints (English)
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12 May 2020
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finite mixture
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Conditional Value-at-Risk (CVaR)
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CVaR-norm
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CVaR-distance
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0.7490274310112
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0.7460459470748901
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0.7331278324127197
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0.7112208008766174
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0.7083731889724731
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