Abstract
We give a direct proof of the fundamental minimization theorem for CVaR presented by Rockafellar and Uryasev in their definitive paper (Conditional value-at-risk for general loss distributions. Journal of Banking and Finance, 26, 1443-1471, 2002).
Volume
56
Page
629-632
Number
5
Year
2007
Categories
New Risk Measures
Publications
Optimization: A Journal of Mathematical Programming and Operations Research
