A Reverse ES (CVaR) Optimization Formula
type: Item
instance of: scholarly article
title: A Reverse ES (CVaR) Optimization Formula
DOI: 10.1080/10920277.2023.2249524
author: Yuanying Guan
author: Zhanyi Jiao
author: Ruodu Wang
published in: North American Actuarial Journal
publication date: 2024-11-18T00:00:00Z
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7946151
MaRDI profile type: Publication
cites work: Coherent measures of risk
cites work: AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
cites work: Probability
cites work: Bayes risk, elicitability, and the Expected Shortfall
cites work: Seven proofs for the subadditivity of expected shortfall
cites work: Stochastic finance. An introduction in discrete time.
cites work: A General Definition of the Lorenz Curve
cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
cites work: Maxmin expected utility with non-unique prior
cites work: Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
cites work: Q3523756
cites work: Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
cites work: Convex risk functionals: representation and applications
cites work: Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures
cites work: Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
cites work: Q5253267
cites work: Some remarks on the value-at-risk and the conditional value-at-risk
cites work: Q3528030
cites work: Theory of games and economic behavior.
cites work: Characterization, Robustness, and Aggregation of Signed Choquet Integrals
cites work: The Dual Theory of Choice under Risk
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
description: scientific article; zbMATH DE number 7946151