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Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

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References

1999Coherent Measures of Risk8,849 cited
2000Optimization of conditional value-at-risk6,722 cited
2002Conditional value-at-risk for general loss distributions3,847 cited
2003Tail Conditional Expectations for Elliptical Distributions386 cited
2010On buffered failure probability in design and optimization of structures177 cited

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2023Bi-fidelity conditional value-at-risk estimation by dimensionally decomposed generalized polynomial chaos expansion

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