Conditional value-at-risk: optimization approach
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- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- Verification of internal risk measure estimates
- Empirical tail risk management with model-based annealing random search
- Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
- Temporal Robustness of Stochastic Signals
- A consistent estimator to the orthant-based tail value-at-risk
- Distributionally robust front distribution center inventory optimization with uncertain multi-item orders
- Risk quantization by magnitude and propensity
- Consistent modeling of risk averse behavior with spectral risk measures
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