Work

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Year: 2019

Type: article

Source: Annals of Operations Research

DOI: 10.1007/s10479-019-03373-1

Authors: Matthew Norton, Valentyn Khokhlov, Stan Uryasev

Institutions: Naval Postgraduate School, London Business School, University of Florida

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funder: Naval Postgraduate School

Award: G6805922106

OpenAlex ID: W2903213693

FWCI: 5.62

Cites: 18

Cited by: 91

Related to: 10