Spectral risk measures: the risk quadrangle and optimal approximation

DOI10.1007/s10107-018-1267-3zbMath1470.91332OpenAlexW2803669158WikidataQ129778914 ScholiaQ129778914MaRDI QIDQ1739050

Drew P. Kouri

Publication date: 24 April 2019

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://www.osti.gov/biblio/1441457

zbMATH Keywords

stochastic optimizationquadratureregressionrisk measuresaverage value-at-riskrisk quadrangle

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Risk models (general) (91B05)

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