Expected shortfall: heuristics and certificates

DOI10.1016/j.ejor.2017.11.022zbMath1403.90540OpenAlexW2769555393MaRDI QIDQ1754277

Marco C. Campi, Federico Alessandro Ramponi

Publication date: 30 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.11.022

zbMATH Keywords

stochastic programmingconvex programmingexpected shortfallscenario approachCVaR

Mathematics Subject Classification ID

Related Items (5)

Evaluation of the quantiles and superquantiles of the makespan in interval valued activity networks ⋮ Sample average approximation of conditional value-at-risk based variational inequalities ⋮ Dynamic safety first expected utility model ⋮ A theory of the risk for empirical CVaR with application to portfolio selection ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls

Uses Software

• QRM

Cites Work

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