Conditional value‐at‐risk beyond finance: a survey
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Publication:6090467
DOI10.1111/itor.12726OpenAlexW2975179473WikidataQ127198814 ScholiaQ127198814MaRDI QIDQ6090467
Carlo Filippi, G. Guastaroba, Maria Grazia Speranza
Publication date: 17 November 2023
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/itor.12726
Related Items (9)
Enhanced index tracking with CVaR-based ratio measures ⋮ A kernel search heuristic for a fair facility location problem ⋮ Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure ⋮ On the role of commodity futures in portfolio diversification ⋮ CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process ⋮ Pricing decisions with different time sequences in a cross‐border dual‐channel supply chain ⋮ Distributional robustness and lateral transshipment for disaster relief logistics planning under demand ambiguity ⋮ Risk‐averse two‐stage stochastic programming for the inventory rebalancing of bike‐sharing systems ⋮ A theory of the risk for empirical CVaR with application to portfolio selection
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