Is the estimation of the CVAR using known non-parametric methods (histogram , kernels) is different than the estimation of any other R.V.? If the answer is yes, then I am interested to know whether ...
While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
Properties of optimization under shortfall constraints in R. Hi, I'm having trouble optimizing a portfolio for a school project, which has been bothering me for a week. What I want to do is to ...
I'm reading the paper "Optimization of conditional value-at-risk" by Rockafellar and Uryasev. The state two theorems within the paper which are proven in the appendix. Let me introduce some notation ...