Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)-Reference-Cited by-同舟云学术

Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)

Published:2000 Issue: Volume: Page:1-25
ISSN:1571-568X
Container-title:Nonconvex Optimization and Its Applications
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Author:

Uryasev S.

Publisher

Springer US

Link

http://link.springer.com/content/pdf/10.1007/978-1-4757-3150-7_1

Reference55 articles.

1. Andersson, F., Mausser, H., Rosen, D., and S. Uryasev (2000) Credit Risk Optimization With Conditional Value-At-Risk Criterion. Mathematical Programming. To appear.

2. Artzner, P., Delbaen F., Eber, J.M., and D. Heath (1999) Coherent Measures of Risk. Mathematical Finance, 9, 203–228.

3. Birge J.R. and F. Louveaux (1997) Introduction to Stochastic Programming. Springer, New York.

4. Bucay, N. and D. Rosen (1999) Credit Risk of an International Bond Portfolio: a Case Study. ALGO Research Quarterly. Vol.2, No. 1, 9–29.

5. Dembo, R.S. and A.J. King (1992) Tracking Models and the Optimal Regret Distribution in Asset Allocation. Applied Stochastic Models and Data Analysis. Vol. 8, 151–157.

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