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A note on conditional value at risk (CVaR).

Authors :
Howlett, P.
Piantadosi, J.
Source :
Optimization; Oct-Dec2007, Vol. 56 Issue 5/6, p629-632, 4p
Publication Year :
2007

Abstract

We give a direct proof of the fundamental minimization theorem for CVaR presented by Rockafellar and Uryasev in their definitive paper (Conditional value-at-risk for general loss distributions. Journal of Banking and Finance, 26, 1443-1471, 2002). [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
MATHEMATICAL optimization
MATHEMATICAL analysis
POLYTOPES
SYMMETRIC functions
STOCHASTIC approximation
OPERATIONS research

Details

Language :
English
ISSN :
02331934
Volume :
56
Issue :
5/6
Database :
Complementary Index
Journal :
Optimization
Publication Type :
Academic Journal
Accession number :
27009849
Full Text :
https://doi.org/10.1080/02331930701617080
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