Browsing by Subject "Value-at-risk"

Now showing items 1-2 of 2

    • COAP 2014 Best Paper Prize 
      Espinoza, Daniel G.; Moreno, Eduardo (Springer, 2015)
    • Restricted risk measures and robust optimization 
      Lagos, Guido; Espinoza González, Daniel; Moreno, Eduardo; Vielma, Juan Pablo (Elsevier, 2015)
      In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms ...