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    • Confidence Levels for CVaR Risk Measures and Minimax Limits* 

      Anderson, Edward; Xu, Huifu; Zhang, Dali (Business Analytics., 2014-01)
      Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the confidence level of CVaR is set close to 1, the CVaR risk measure approximates the extreme (worst scenario) risk measure. In this ...