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Conditional Value at Risk
3 references·0 citing·11 second hop
Conditional Value at Risk (2009)Conditional Value at RiskConditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk) (2000)Introduction to the Theory of…PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Introduction to Stochastic Programming (2011)A Discussion of Probability Functions and Constraints from a Variational Perspective (2020)CVaR-Based Approximations of Wasserstein Distributionally Robust Chance Constraints with Application to Process Scheduling (2020)MULTILEVEL MONTE CARLO ESTIMATORS FOR DERIVATIVE-FREE OPTIMIZATION UNDER UNCERTAINTY (2023)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2000Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)35 cited

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