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Superquantile/CVaR risk measures: second-order theory
16 references·0 citing·28 second hop
Superquantile/CVaR risk measures: second-order theory (2016)Superquantile/CVaR risk measures: second-…Stochastic Finance (2011)Stochastic FinanceLectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Law invariant risk measures have the Fatou property (2007)Law invariant risk measures h…Optimization of Convex Risk Functions (2006)Optimization of Convex Risk F…Generalized deviations in risk analysis (2005)Generalized deviations in ris…Deviation Measures in Risk Analysis and Optimization (2003)Deviation Measures in Risk An…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Stochastic Finance (2002)Stochastic FinanceSpectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…On law invariant coherent risk measures (2001)On law invariant coherent ris…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…A Stochastic Approximation Method (1951)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Coherent Risk Measures on General Probability Spaces (2002)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)A theory of anticipated utility (1982)Prospect theory: An analysis of decision under risk (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Subjective probability and expected utility without additivity (2004)PORTFOLIO SELECTION* (1952)A Robust Optimization Perspective on Stochastic Programming (2007)Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)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)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)On the coherence of expected shortfall (2002)Making and Evaluating Point Forecasts (2011)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)A Guide to Sample Average Approximation (2014)
this work references cited by second hop

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  • 2006Optimization of Convex Risk Functions474 cited
  • 2011Stochastic Finance424 cited
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  • 2007Law invariant risk measures have the Fatou property292 cited
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  • 2003Deviation Measures in Risk Analysis and Optimization188 cited

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