On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization (Q6573817)
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scientific article; zbMATH DE number 7882277
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| English | On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization |
scientific article; zbMATH DE number 7882277 |
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On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization (English)
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17 July 2024
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expected shortfall
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value-at-risk
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average value-at-risk
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non-concave optimization
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equivalence
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0.8006840944290161
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0.7861027121543884
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0.772042453289032
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0.7653063535690308
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0.763883650302887
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