A note on conditional value at risk (CVaR)

DOI10.1080/02331930701617080zbMath1172.91327OpenAlexW2008636854MaRDI QIDQ5426964

Julia Piantadosi, Phil G. Howlett

Publication date: 16 November 2007

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930701617080

zbMATH Keywords

convexityvalue at riskconditional value at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

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