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Superquantile/CVaR risk measures: second-order theory · Study

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ArticleSuperquantile/CVaR risk measures: second-order theory

Ralph Tyrrell Rockafellar2016

Article2016

Superquantile/CVaR risk measures: second-order theory

Ralph Tyrrell Rockafellar · Johannes Ø. Røyset

29 citations·0/0 files stored·Annals of Operations Research

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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 2002Conditional value-at-risk for general loss distributions 1987The Dual Theory of Choice under Risk 2009Lectures on Stochastic Programming: Modeling and Theory 2009Lectures on Stochastic Programming 2002Stochastic Finance: An Introduction in Discrete Time 2002Spectral measures of risk: A coherent representation of subjective risk aversion

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Year2016

Typearticle

Published2016-02-09

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations29

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10479-016-2129-0

openalex_workW582408618

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