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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…
math.OC2018★ 1 cited
Yet Another Convex Sets Subtraction with Application in Nondifferentiable Optimization
Evgeni Nurminski, Stan Uryasev
This paper introduces a new subtraction operation for convex sets, which defines their difference as a collection of inclusion-minimal convex sets with appropriate definitions of l…