On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization

An Chen, Mitja Stadje, Fangyuan Zhang

Year of publication:	2024
Authors:	Chen, An ; Stadje, Mitja ; Zhang, Fangyuan
Subject:	Average Value-at-Risk \| Equivalence \| Expected shortfall \| Non-concave optimization \| Value-at-Risk \| Risikomaß \| Risk measure \| Theorie \| Theory \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection \| Messung \| Measurement \| Erwartungsbildung \| Expectation formation \| Risikomanagement \| Risk management

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