Superquantile/CVaR risk measures: second-order theory

DOI10.1007/s10479-016-2129-0zbMath1391.91163OpenAlexW582408618MaRDI QIDQ1640039

R. Tyrrell Rockafellar, Johannes O. Royset

Publication date: 13 June 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.955.1673

zbMATH Keywords

conditional value-at-risksuperquantilesduality of risk measuresmixed superquantilesrisk envelopesrisk identifierssecond-order superquantilesspectral measures of risksuperquantile regression

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15)

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