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~isPartOf:"Mathematics of operations research"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Mathematics of operations research
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1
Maximum spectral measures of risk with given risk factor marginal distributions
Ghossoub, Mario
;
Hall, Jesse
;
Saunders, David M.
- In:
Mathematics of operations research
48
(
2023
)
2
,
pp. 1158-1182
Persistent link: https://www.econbiz.de/10014314983
Saved in:
2
Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi
;
Cui, Ying
;
Pang, Jong-shi
- In:
Mathematics of operations research
47
(
2022
)
4
,
pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
Saved in:
3
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
4
Scalar multivariate risk measures with a single eligible asset
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 899-922
Persistent link: https://www.econbiz.de/10013365032
Saved in:
5
Distributional transforms, probability distortions, and their applications
Liu, Peng
;
Schied, Alexander
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
4
,
pp. 1490-1512
Persistent link: https://www.econbiz.de/10012796660
Saved in:
6
A theory for measures of tail risk
Liu, Fangda
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
3
,
pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
Saved in:
7
Epi-regularization of risk measures
Kouri, Drew P.
;
Surowiec, Thomas M.
- In:
Mathematics of operations research
45
(
2020
)
2
,
pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
Saved in:
8
Surplus-invariant risk measures
Gao, Niushan
;
Munari, Cosimo-Andrea
- In:
Mathematics of operations research
45
(
2020
)
4
,
pp. 1342-1370
Persistent link: https://www.econbiz.de/10012320322
Saved in:
9
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Pitera, Marcin
- In:
Mathematics of operations research
43
(
2018
)
1
,
pp. 204-221
Persistent link: https://www.econbiz.de/10011818748
Saved in:
10
Risk-averse approximate dynamic programming with quantile-based risk measures
Jiang, Daniel R.
;
Powell, Warren B.
- In:
Mathematics of operations research
43
(
2018
)
2
,
pp. 554-579
Persistent link: https://www.econbiz.de/10011868618
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