DOI10.1287/moor.1080.0313zbMath1218.90158OpenAlexW2110385620MaRDI QIDQ3168990
Michael Zabarankin, Stan Uryasev, R. Tyrrell Rockafellar
Publication date: 27 April 2011
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d963ce209e269ce90cc04cd6fcff1403a2aa8320
Bayesian CV@R/super-quantile regression,
The center of a convex set and capital allocation,
CVaR (superquantile) norm: stochastic case,
CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES,
INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH,
Optimal risk sharing with general deviation measures,
On data-driven chance constraint learning for mixed-integer optimization problems,
Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures,
On a family of coherent measures of variability,
On the optimization properties of the correntropic loss function in data analysis,
Random variables, monotone relations, and convex analysis,
Regression analysis: likelihood, error and entropy,
Index tracking and enhanced indexing using mixed conditional value-at-risk,
SCHUR CONVEX FUNCTIONALS: FATOU PROPERTY AND REPRESENTATION,
COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES,
Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk,
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures,
COHERENCE AND ELICITABILITY,
Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures,
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models,
Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
