Shortfall as a risk measure: properties, optimization and applications

DOI10.1016/S0165-1889(03)00109-XzbMath1200.91133MaRDI QIDQ953649

Geoffrey J. Lauprete, Dimitris J. Bertsimas, Alexander M. Samarov

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (45)

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• Regression Quantiles
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Safety First and the Holding of Assets

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