Use of Conditional Value-at-Risk in Stochastic Programs with Poorly Defined Distributions

2004 ◽  
pp. 225-241 ◽  
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Pavlo Krokhmal ◽  
Robert Murphey ◽  
Panos Pardalos ◽  
Stanislav Uryasev
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At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
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Vol 170 (1) ◽  
pp. 327-356 ◽  
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Tito Homem-de-Mello ◽  
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At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Scenario Reduction ◽  
Stochastic Programs

A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

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Vol 16 (6) ◽  
pp. 3-29 ◽  
Author(s):  
Samuel Drapeau ◽  
Michael Kupper ◽  
Antonis Papapantoleon
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At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
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Vol 59 (2) ◽  
pp. 116-135 ◽  
Author(s):  
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Roy H. Kwon ◽  
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Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Spare Parts ◽  
Conditional Value At Risk ◽  
Risk Criterion
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