Comparison of VaR and CVaR criteria

DOI10.1023/A:1024794420632zbMath1115.91332OpenAlexW1514176739MaRDI QIDQ2487628

V. N. Vagin, A. I. Kibzun

Publication date: 8 August 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024794420632

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

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Equivalence of the problems with quantile and integral quantile criteria ⋮ Algorithm to solve the generalized Markowitz problem ⋮ Stochastic quasigradient algorithm to minimize the function of integral quantile ⋮ A two-step capital variation model: optimization by different statistical criteria

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