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Varying confidence levels for CVaR risk measures and minimax limits

Anderson, E; Xu, HF; Zhang, DL

Zhang, DL (corresponding author), Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Sino US Global Logist Inst, Shanghai 200030, Peoples R China.

MATHEMATICAL PROGRAMMING, 2020; 180 (1-2): 327

Abstract

Conditional value at risk (CVaR) has been widely studied as a risk measure. In this paper we add to this work by focusing on the choice of confidence ......

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