Conditional Value-at-Risk: Optimization Approach
作者： Stanislav Uryasev , R. Tyrrell Rockafellar
DOI: 10.1007/978-1-4757-6594-6_17
关键词: Efficient frontier 、 Computer science 、 Modern portfolio theory 、 CVAR 、 Portfolio optimization 、 Mathematical optimization 、 Risk measure 、 Stochastic programming 、 Continuous optimization 、 Expected shortfall
摘要: … We consider the so called Conditional Valueat-Risk (CVaR) … distributions, CVaR coincides with the expected shortfall, which is the expected value of losses exceeding {3-Value-atRisk …
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