1 citations · 2 across the 6 of their papers we have counts for
4 papers · 1 filter
Divergence Based Quadrangle and Applications
Anton Malandii, Siddhartha Gupte, Cheng Peng +1
This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{-Divergence Quadrangle}. This approach expands upon the…
Expectile Quadrangle and Applications
Viktor Kuzmenko, Anton Malandii, Stan Uryasev
The paper explores the concept of the \emph{expectile risk measure} within the framework of the Fundamental Risk Quadrangle (FRQ) theory. According to the FRQ theory, a quadrangle…
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…
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…