Rockafellar, R.T.; Royset, J.O.; Miranda, S.I. - In: European Journal of Operational Research 234 (2014) 1, pp. 140-154
The paper presents a generalized regression technique centered on a superquantile (also called conditional value-at-risk) that is consistent with that coherent measure of risk and yields more conservatively fitted curves than classical least-squares and quantile regression. In contrast to other...