Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

DOI10.1007/s10479-019-03373-1zbMath1475.91404arXiv1811.11301OpenAlexW2981878202WikidataQ126981309 ScholiaQ126981309MaRDI QIDQ2241122

Matthew Norton, Stan Uryasev, Valentyn Khokhlov

Publication date: 8 November 2021

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

Full work available at URL: https://arxiv.org/abs/1811.11301

zbMATH Keywords

portfolio optimizationdensity estimationconditional value-at-risksuperquantilebuffered probability of exceedance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Point estimation (62F10) Probability distributions: general theory (60E05) Nonlinear programming (90C30) Portfolio theory (91G10)

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