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Volumn 26, Issue 7, 2002, Pages 1443-1471

Conditional value-at-risk for general loss distributions

(2) Rockafellar, R Tyrrell a Uryasev, Stanislav b

a UNIVERSITY OF WASHINGTON (United States)

Author keywords

Coherent risk measures; Conditional value at risk; Hedging; Index tracking; Mean shortfall; Portfolio optimization; Risk management; Risk sampling; Scenarios; Value at risk

Indexed keywords

EID: 0036076694 PISSN: 03784266 EISSN: None Source Type: Journal
DOI: 10.1016/S0378-4266(02)00271-6 Document Type: Article

Times cited : (2998)

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