Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of probability distributions and are popular measures of risk in applications where the distribution represents the magnitude of a potential loss. buffered pr...

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Bibliographic Details
Published in:	Annals of operations research Vol. 299; no. 1-2; pp. 1281 - 1315
Main Authors:	Norton, Matthew, Khokhlov, Valentyn, Uryasev, Stan
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Subjects:	Business and Management Combinatorics Confidence intervals Convex analysis Density Distribution (Probability theory) Engineering Financial risk Functions, Inverse Linear programming Logistics Mathematical analysis Measurement Method of moments Methods Operations research Operations Research/Decision Theory Optimization Portfolio management Quantiles Random variables Risk S.I.: Recent Developments in Financial Modeling and Risk Management Statistical analysis Theory of Computation United States Buffered probability of exceedance Portfolio optimization Conditional value-at-risk Density estimation Superquantile
ISSN:	0254-5330, 1572-9338
Online Access:	Get full text
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