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arxiv.org
arxiv.org › abs › 1811.11301
[1811.11301] Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation
Feb 21, 2026 — Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measur...
⏱ 5 min read
doi.org
doi.org › 10.1007%2Fs10479-019-03373-1
Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation | Annals of Operations Research | Springer Nature Link
Feb 21, 2026 — Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of probability distributions and are popular measures of r...
⏱ 23 min read