Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 11 (2023) 12, pp. 1-21
) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk … optimization problems involving expectile-linked constraints, relate expectiles with VaR and CVaR by means of both equalities and … inequalities, give VaR and CVaR hyperbolic upper bounds beyond the level of confidence, and analyze whether co-monotonic additivity …