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superquantile sign in to follow this
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coherent risk measure sign in to follow this
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Superquantile/CVaR Risk Measures: Second-Order Theory
Year Of Publication: 2014
Month Of Publication: July
Pages: 26
Download Count: 10
View Count: 1513
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-12-2014
Publisher: Administrator
Summary
Superquantile risk, also known as conditional value-at-risk (CVaR), is widely used as a coherent measure of risk due to its improved properties over those of quantile risk (value-at-risk). In this paper, we consider second-order superquantile/CVaR measures of risk, which represent further “smoothing” by averaging the classical quantities. We also step further and examine the more general “mixed” superquantile/CVaR measures of risk with fundamental importance in dual utility theory. We establish representations of these mixed and second-order superquantile risk measures in terms of risk profiles, risk envelopes, and risk identifiers. The expressions facilitate the development of dual methods for mixed and second-order superquantile risk minimization as well as superquantile regression, a second-order version of quantile regression.
Author(s)
Rockafellar, R. Tyrrell Sign in to follow this author
Royset, Johannes O. Sign in to follow this author
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