Conditional Value-At-Risk Optimization is a stochastic optimization method that minimizes the expected loss in the worst-case quantile of a probability distribution, thereby focusing on tail risk beyond a specified confidence level.
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398
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17
Conditional value-at-risk: optimization algorithms and applications
Stan Uryasev · 2002 · 376 citations
Business, Finance, Mathematics +17
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Tsinghua University
Beijing, China
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18 publications
856 citations
University of Florida
Gainesville, United States
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14 publications
2.3K citations
Nanyang Technological University
Singapore, Singapore
9 h-index
9 publications
767 citations
South China University of Technology
Guangzhou, China
9 h-index
9 publications
319 citations
Wuhan University
Wuhan, China
8 h-index
8 publications
521 citations
Sichuan University
Chengdu, China
8 h-index
8 publications
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Kyung Hee University
Seoul, South Korea
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8 publications
307 citations
University of Houston
Houston, United States
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8 publications
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TSTE · 13 publications · 1K citations
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Repository · 14 publications · 524 citations
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Repository · 12 publications · 357 citations
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