Generalized deviations in risk analysis
Year of publication: |
2006
|
---|---|
Authors: | Rockafellar, R. ; Uryasev, Stan ; Zabarankin, Michael |
Published in: |
Finance and Stochastics. - Springer. - Vol. 10.2006, 1, p. 51-74
|
Publisher: |
Springer |
Subject: | Risk management | deviation measures | coherent risk measures | value-at-risk | conditional value-at-risk | portfolio optimization | convex analysis |
-
Equivalence of robust VaR and CVaR optimization
Lofti, Somayyeh, (2016)
-
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay, (2018)
-
Deviation-based model risk measures
Berkhouch, Mohammed, (2022)
- More ...
-
Veremyev, Alexander, (2014)
-
Risk tuning with generalized linear regression
Rockafellar, Ralph Tyrrell, (2008)
-
Equilibrium with investors using a diversity of deviation measures
Rockafellar, Ralph Tyrrell, (2007)
- More ...