Search Results - subject:"superquantile"

Rockafellar, Ralph Tyrrell - In: Computational management science 21 (2024) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10014636812

Costa, Manon; Gadat, Sébastien - 2020

Persistent link: https://www.econbiz.de/10012316959

Bercu, Bernard; Costa, Manon; Gadat, Sébastien - 2020

Persistent link: https://www.econbiz.de/10012286349

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …

Persistent link: https://www.econbiz.de/10012025262

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-22

function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …

Persistent link: https://www.econbiz.de/10012611178

Teter, Michael D.; Royset, Johannes O.; Newman, Alexandra M. - 2019

Persistent link: https://www.econbiz.de/10012116215

Mafusalov, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 249 (2016) 1, pp. 200-208

Persistent link: https://www.econbiz.de/10011435796