CVaR (superquantile) norm: stochastic case
From MaRDI portal
Publication:320902
DOI10.1016/j.ejor.2015.09.058zbMath1346.91266OpenAlexW1852025839MaRDI QIDQ320902
Stan Uryasev, Alexander Mafusalov
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.058
Linear regression; mixed models (62J05) Statistical methods; risk measures (91G70) Convex programming (90C25) Probability distributions: general theory (60E05)
Related Items (11)
CVaR distance between univariate probability distributions and approximation problems ⋮ Cardinality of Upper Average and Its Application to Network Optimization ⋮ Checkerboard copula defined by sums of random variables ⋮ Fitting heavy-tailed mixture models with CVaR constraints ⋮ On risk measuring in the variance-gamma model ⋮ CVaR norm and applications in optimization ⋮ Regression analysis: likelihood, error and entropy ⋮ Spectral risk measures: the risk quadrangle and optimal approximation ⋮ Expected shortfall: heuristics and certificates ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns ⋮ Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization
Cites Work
- Unnamed Item
- Unnamed Item
- The least trimmed quantile regression
- CVaR norm and applications in optimization
- A note on the complexity of \(L _{p }\) minimization
- Robust linear optimization under general norms.
- Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
- Risk preference modeling with conditional average: An application to portfolio optimization
- Conditional median: a parametric solution concept for location problems
- Statistical decision problems. Selected concepts and portfolio safeguard case studies
- Generalized deviations in risk analysis
- Norm Aggregations and OWA Operators
- Risk Tuning with Generalized Linear Regression
- Least Median of Squares Regression
- Regression Quantiles
- Rank-Based Estimates in the Linear Model with High Breakdown Point
- Optimization with Stochastic Dominance Constraints
- Dual Stochastic Dominance and Related Mean-Risk Models
- Submajorization and the Geometry of Unordered Collections
- A Column Generation Approach to Radiation Therapy Treatment Planning Using Aperture Modulation
- Inequalities: theory of majorization and its applications
This page was built for publication: CVaR (superquantile) norm: stochastic case
