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Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk · Study

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ChapterSome Remarks on the Value-at-Risk and the Conditional Value-at-Risk

Georg Ch. Pflug2000

Chapter2000

Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

Georg Ch. Pflug

770 citations·0/0 files stored·Nonconvex optimization and its applications

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 770 citations exist upstream.

References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk

Cited by

2001Portfolio optimization with conditional value-at-risk objective and constraints 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk 2005Generalized deviations in risk analysis 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management 2002Dual Stochastic Dominance and Related Mean-Risk Models 2005Measuring Market Risk 2006Optimization of Convex Risk Functions 2002Expected shortfall and beyond

Details

Year2000

Typechapter

Published2000-01-01

VenueNonconvex optimization and its applications

ISSN-L1571-568X

Languageen

Citations770

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1007/978-1-4757-3150-7_15

openalex_workW1106997938

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