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dc.contributor.authorRoyset, Johannes O.
dc.contributor.authorRockafellar, R. Tyrrell
dc.dateNovember 5, 2015
dc.date.accessioned2016-05-18T21:00:56Z
dc.date.available2016-05-18T21:00:56Z
dc.date.issued2015-11-05
dc.identifier.citationR.T. Rockafellar and J.O. Royset, 2016, "Superquantile/CVaR Risk Measures: Second-Order Theory," Annals of Operations Research, to appear.en_US
dc.identifier.urihttp://hdl.handle.net/10945/48697
dc.description.abstractSuperquantiles, which refer to conditional value-at-risk (CVaR) in the same way that quantiles refer to value-at-risk (VaR), have many advantages in the modeling of risk in finance and engineering. However, some applications may benefit from a further step, from superquantiles to second- order superquantiles. Measures of risk based on second-order superquantiles have recently been explored in some settings, but key parts of the theory have been lacking: descriptions of the associated risk envelopes and risk identifiers. Those missing ingredients are supplied in this paper, and moreover not just for second-order superquantiles, but also for a much broader class of mixed superquantile measures of risk. Such dualizing expressions facilitate the development of dual methods for mixed and second-order superquantile risk minimization as well as superquantile regression, a proposed second-order version of quantile regression.en_US
dc.description.sponsorshipU.S. Air Force Office of Scientific Research grant FA9550-11-1-0206en_US
dc.description.sponsorshipU.S. Air Force Office of Scientific Research grant F1ATAO1194GOO1en_US
dc.description.sponsorshipDARPA grant HR0011517798en_US
dc.format.extent28 p.en_US
dc.rightsThis publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.en_US
dc.titleSuperquantile/CVaR Risk Measures: Second-Order Theoryen_US
dc.typeArticleen_US
dc.contributor.corporateNaval Postgraduate School (U.S.)en_US
dc.contributor.departmentOperations Research (OR)en_US
dc.subject.authorsuperquantilesen_US
dc.subject.authorconditional value-at-risken_US
dc.subject.authorsecond-order superquantilesen_US
dc.subject.authormixed superquantilesen_US
dc.subject.authorspectral measures of risken_US
dc.subject.authorrisk envelopesen_US
dc.subject.authorrisk identifiersen_US
dc.subject.authorduality of risk measuresen_US
dc.subject.authorsuperquantile regressionen_US
dc.description.funderU.S. Air Force Office of Scientific Research grant FA9550-11-1-0206en_US
dc.description.funderU.S. Air Force Office of Scientific Research grant F1ATAO1194GOO1en_US
dc.description.funderDARPA grant HR0011517798en_US


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