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Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk) · Study

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ChapterIntroduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)

Stan Uryasev2000

Chapter2000

Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)

35 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

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2011Introduction to Stochastic Programming 2010Stochastic Programming 1998Introduction to Stochastic Programming 1995Stochastic Programming 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1997An Overview of Value at Risk

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2002Algorithms for Optimization of Value-at-Riskchapter · 17 shared references 2001Conditional Value-at-Risk: Optimization Approachchapter · 11 shared references 2002Risk Management for Hedge Fund Portfoliosarticle · 11 shared references 2004On Relation Betweeen Expected Regret and Conditional Value-at-Riskchapter · 11 shared references 2010Modeling and optimization of riskarticle · 10 shared references 2007Higher moment coherent risk measuresarticle · 10 shared references

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Year2000

Typechapter

Published2000-01-01

VenueNonconvex optimization and its applications

ISSN-L1571-568X

Languageen

Citations35

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-1-4757-3150-7_1

openalex_workW48101171

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