Superquantile/CVaR risk measures: second-order theory
نویسندگان
چکیده
منابع مشابه
Superquantile/CVaR risk measures: second-order theory
Superquantile risk, also known as conditional value-at-risk (CVaR), is widely used as a coherent measure of risk due to its improved properties over those of quantile risk (value-at-risk). In this paper, we consider second-order superquantile/CVaR measures of risk, which represent further “smoothing” by averaging the classical quantities. We also step further and examine the more general “mixed...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2016
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-016-2129-0