CVaR distance between univariate probability distributions and approximation problems

DOI10.1007/s10479-017-2732-8zbMath1391.62025OpenAlexW2782983924MaRDI QIDQ1640043

Konstantin Pavlikov, Stan Uryasev

Publication date: 13 June 2018

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

Full work available at URL: https://doi.org/10.1007/s10479-017-2732-8

zbMATH Keywords

distance minimizationCVaR normconditional value-at-riskscenario reduction

Mathematics Subject Classification ID

Related Items (5)

Solving bi-objective uncertain stochastic resource allocation problems by the CVaR-based risk measure and decomposition-based multi-objective evolutionary algorithms ⋮ Fitting heavy-tailed mixture models with CVaR constraints ⋮ Discrete approximations of continuous probability distributions obtained by minimizing Cramér-von Mises-type distances ⋮ Kantorovich–Rubinstein Distance Minimization: Application to Location Problems ⋮ Buffered Probability of Exceedance: Mathematical Properties and Optimization

Uses Software

• XPRESS
• Portfolio Safeguard

Cites Work

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