2 papers
q-fin.RM2019
Portfolio Optimization with Expectile and Omega Functions
Alexander Wagner, Stan Uryasev
This paper proves equivalences of portfolio optimization problems with negative expectile and omega ratio. We derive subgradients for the negative expectile as a function of the po…
q-fin.RM2018
Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation
Matthew Norton, Valentyn Khokhlov, Stan Uryasev
Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's an…