In this paper we address the problem of decision making within a Markov decision process (MDP) framework where risk and modeling errors are taken into account. Our approach is to minimize a risk-sensi...
This paper introduces the family of CVaR norms in $${\mathbb {R}}^{n}$$ , based on the CVaR concept. The CVaR norm is defined in two variations: scaled and
This thesis presents the Conditional Value-at-Risk concept and combines an analysis that covers its application as a risk measure and as a vector norm. For both areas of application the theory is revi...
In this chapter, we consider approaches to express the risk preferences of a newsvendor by means of the risk measures value at risk (VaR), conditional value at risk (CVaR), and the mean-CVaR rule, whi...
In this paper, we consider the sample estimators for the expected return, the variance, the value-at-risk (VaR), and the conditional VaR (CVaR) of the minimum VaR and the minimum CVaR portfolio. Their...
The paper defines new distances between univariate probability distributions, based on the concept of the CVaR norm. We consider the problem of approximati
The paper defines new distances between univariate probability distributions, based on the concept of the CVaR norm. We consider the problem of approximati
Recent years have seen growing interest in coherent risk measures, especially in Conditional Value-at-Risk ( $$\mathrm {CVaR}$$ ). Since $$\mathrm {CVaR}$$
This note is focused on computational efficiency of the portfolio selection models based on the Conditional Value at Risk (CVaR) risk measure. The CVaR mea
In this paper, we consider both one-period and multi-period distributionally robust mean-CVaR portfolio selection problems. We adopt an uncertainty set whi
This paper presents a new framework for portfolio management that incorporates sustainability considerations in the form of environmental, social, and governance risks (ESG) alongside the impact of hi...
Conditional Value-at-Risk (CVaR) is a portfolio evaluation function having appealing features such as sub-additivity and convexity. Although the CVaR funct
Recent years have seen growing interest in coherent risk measures, especially in Conditional Value-at-Risk ( $$\mathrm {CVaR}$$ ). Since $$\mathrm {CVaR}$$
The value-at-risk (VaR) and the conditional value-at-risk (CVaR) are two commonly used risk measures. We state some of their properties and make a comparison. Moreover, the structure of the portfolio ...
Index tracking problems are concerned in this paper. A CVaR risk constraint is introduced into general index tracking model to control the downside risk of
Index tracking problems are concerned in this paper. A CVaR risk constraint is introduced into general index tracking model to control the downside risk of
