CVaR norm and applications in optimization

DOI10.1007/S11590-013-0713-7MaRDI QIDQ476266zbMATH OpenOpenAlexFDO

Authors Konstantin Pavlikov, Stan Uryasev

Publication date 28 November 2014

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-013-0713-7

zbMATH Keywords

\(L_p\) normCVaR normprojection

Mathematics Subject Classification ID

Nonlinear programming (90C30)

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Cites work

• CVaR (superquantile) norm: stochastic case
• Equivalent Subgradient Versions of Hamiltonian and Euler–Lagrange Equations in Variational Analysis
• Robust linear optimization under general norms.
• Some remarks on the value-at-risk and the conditional value-at-risk
• The Price of Robustness

Cited in

(23)

• CVaR distance between univariate probability distributions and approximation problems
• A fair division approach to humanitarian logistics inspired by conditional value-at-risk
• A least squares approach for efficient and reliable short-term versus long-term optimization
• DC formulations and algorithms for sparse optimization problems
• Individual and cooperative portfolio optimization as linear program
• Fitting heavy-tailed mixture models with CVaR constraints
• Fairness measures for decision-making and conflict resolution
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
• Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization
• Multi-market portfolio optimization with conditional value at risk
• CVaR (superquantile) norm: stochastic case
• Portfolio optimization under loss aversion
• Polytopal balls arising in optimization
• Cardinality of upper average and its application to network optimization
• Nonparametric kernel estimation of expected shortfall under negatively associated sequences
• On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate
• Continuous extensions on Euclidean combinatorial configurations
• scientific article; zbMATH DE number 7266886 (Why is no real title available?)
• Detecting large risk-averse 2-clubs in graphs with random edge failures
• Support vector machines based on convex risk functions and general norms
• A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes
• Asymptotic properties of conditional value-at-risk estimate for asymptotic negatively associated samples
• Risk-adaptive approaches to stochastic optimization: a survey

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Uses Software

• Portfolio Safeguard
• XPRESS

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