3 papers
math.OC2026
Multi-period Newsvendor Model
Valentyn Khokhlov
The newsvendor model is a well-known stochastic model for inventory management; however, it was originally developed for a single-period context and focuses on trading companies. T…
q-fin.RM2021
Conditional Value at Risk and Partial Moments for the Metalog Distributions
Valentyn Khokhlov
The metalog distributions represent a convenient way to approach many practical applications. Their distinctive feature is simple closed-form expressions for quantile functions. Th…
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…