On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions

DOI10.1080/10556788.2013.860528zbMath1306.90112OpenAlexW2031780815MaRDI QIDQ2926058

Richard B. Sowers, Uday V. Shanbhag, Uma Ravat

Publication date: 29 October 2014

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2013.860528

zbMATH Keywords

stochastic optimizationrisk managementCVaR

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• Coherent Measures of Risk

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