CVaR (superquantile) norm: stochastic case
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Publication:320902
DOI10.1016/J.EJOR.2015.09.058zbMATH Open1346.91266OpenAlexW1852025839MaRDI QIDQ320902FDOQ320902
Stan Uryasev, Alexander Mafusalov
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.058
Recommendations
- CVaR norm and applications in optimization
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Bayesian CV@R/super-quantile regression
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- Superquantile/CVaR risk measures: second-order theory
Probability distributions: general theory (60E05) Linear regression; mixed models (62J05) Convex programming (90C25) Statistical methods; risk measures (91G70)
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Cited In (13)
- Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization
- CVaR norm and applications in optimization
- CVaR distance between univariate probability distributions and approximation problems
- Superquantile/CVaR risk measures: second-order theory
- Regression analysis: likelihood, error and entropy
- Cardinality of Upper Average and Its Application to Network Optimization
- Spectral risk measures: the risk quadrangle and optimal approximation
- On lower partial moments for the investment portfolio with variance-gamma distributed returns
- Connection between higher order measures of risk and stochastic dominance
- Expected shortfall: heuristics and certificates
- Checkerboard copula defined by sums of random variables
- Fitting heavy-tailed mixture models with CVaR constraints
- On risk measuring in the variance-gamma model
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