Dual stochastic dominance and quantile risk measures

By Wlodzimierz Ogryczak, Andrzej Ruszczynski. 2002

89 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c2d482a2ebb4b878daa0a45e2d9cd0ebdf9eb130

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Speranza
2. Renata Mansini
3. Wlodzimierz Ogryczak
4. Thomas F. Coleman
5. Yuying Li

In Management Science and Operations Research

1. M. Speranza
2. Renata Mansini
3. Wlodzimierz Ogryczak
4. Thomas F. Coleman
5. Yuying Li
6. Andrzej Ruszczynski
7. Stanislav Uryasev
8. Nilay Noyan

In Statistics and Probability

1. M. Speranza
2. Renata Mansini
3. Wlodzimierz Ogryczak
4. Thomas F. Coleman
5. Yuying Li
6. Andrzej Ruszczynski
7. Nilay Noyan
8. Vedat Verter

Citations in the corpus

• Minimizing CVaR and VaR for a portfolio of derivatives (2006, background): “It has been shown [18] that CVaR is a coherent risk measure that has many attractive properties including convexity, see e.g., [17] for an overview of CVaR.”
• Conditional value at risk and related linear programming models for portfolio optimization (2007, background): “The tail GMD (Ogryczak and Ruszczy´nski (2002a, 2002b)) is defined for any β ∈ (0, 1] by averaging the vertical diameters h p (x) within the tail interval p ≤ β as: β (x) = 2 β 2 β 0 (μ(x)α − F (−2) x (α))dα.”