Conditional value-at-risk: optimization approach

zbMATH Open0989.91052MaRDI QIDQ2752044FDOQ2752044

Authors: Stanislav P. Uryasev, R. T. Rockafellar 

Publication date: 7 August 2002

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zbMATH Keywords

portfolio optimizationrisk managementstochastic programmingconditional value-at-riskefficient frontierlinear programming options

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Stochastic programming (90C15)

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• Stochastic multi-site supply chain planning in textile and apparel industry under demand and price uncertainties with risk aversion
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• Computational Science - ICCS 2004
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• Risk management with expected shortfall
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• Portfolio optimization with a copula-based extension of conditional value-at-risk
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• Risk-averse PDE-constrained optimization using the conditional value-at-risk
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• Stochastic Monotonicity of the Mean-CVaRs and Their Applications to Inventory Systems with Stockout Cost: A Transformation Approach
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• Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
• Hedging conditional value at risk with options
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• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• 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
• A consistent estimator to the orthant-based tail value-at-risk
• Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
• Distributionally robust front distribution center inventory optimization with uncertain multi-item orders
• Consistent modeling of risk averse behavior with spectral risk measures
• Optimal expected utility risk measures

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