CVaR (superquantile) norm : stochastic case
Year of publication: |
2016
|
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Authors: | Mafusalov, Alexander ; Uryasev, Stan |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 1 (16.2.), p. 200-208
|
Subject: | CVaR norm | L-p norm | Superquantile | Risk quadrangle | Linear regression | Soziale Norm | Social norm | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Regressionsanalyse | Regression analysis |
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