Superquantile/CVaR Risk Measures: Second-Order Theory
dc.contributor.author | Royset, Johannes O. | |
dc.contributor.author | Rockafellar, R. Tyrrell | |
dc.date | November 5, 2015 | |
dc.date.accessioned | 2016-05-18T21:00:56Z | |
dc.date.available | 2016-05-18T21:00:56Z | |
dc.date.issued | 2015-11-05 | |
dc.identifier.citation | R.T. Rockafellar and J.O. Royset, 2016, "Superquantile/CVaR Risk Measures: Second-Order Theory," Annals of Operations Research, to appear. | en_US |
dc.identifier.uri | http://hdl.handle.net/10945/48697 | |
dc.description.abstract | Superquantiles, 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.sponsorship | U.S. Air Force Office of Scientific Research grant FA9550-11-1-0206 | en_US |
dc.description.sponsorship | U.S. Air Force Office of Scientific Research grant F1ATAO1194GOO1 | en_US |
dc.description.sponsorship | DARPA grant HR0011517798 | en_US |
dc.format.extent | 28 p. | en_US |
dc.rights | This 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.title | Superquantile/CVaR Risk Measures: Second-Order Theory | en_US |
dc.type | Article | en_US |
dc.contributor.corporate | Naval Postgraduate School (U.S.) | en_US |
dc.contributor.department | Operations Research (OR) | en_US |
dc.subject.author | superquantiles | en_US |
dc.subject.author | conditional value-at-risk | en_US |
dc.subject.author | second-order superquantiles | en_US |
dc.subject.author | mixed superquantiles | en_US |
dc.subject.author | spectral measures of risk | en_US |
dc.subject.author | risk envelopes | en_US |
dc.subject.author | risk identifiers | en_US |
dc.subject.author | duality of risk measures | en_US |
dc.subject.author | superquantile regression | en_US |
dc.description.funder | U.S. Air Force Office of Scientific Research grant FA9550-11-1-0206 | en_US |
dc.description.funder | U.S. Air Force Office of Scientific Research grant F1ATAO1194GOO1 | en_US |
dc.description.funder | DARPA grant HR0011517798 | en_US |