Trzpiot, Grazyna - In: Operations Research and Decisions 2 (2006), pp. 81-88
probabilistic one unfortunately it suffer from similar mathematical shortcomings. Value-at-risk suffers from financial … inconsistencies, which have led to axiomatic development of coherent risk measures, so we add also the robust alternative called … conditional value-at-risk. We cope also with some connection between CVaR and stochastic dominance. …