… S ( Z f ) = 0 , where D and S are the deviation measure and statistic associated with the error
measure E . In such generality, and with additional features as well, 11 this is a new result, …

This paper surveys the most recent advances in the context of decision making under
uncertainty, with an emphasis on the modeling of risk-averse preferences using the apparatus of …

This paper introduces a new approach to optimizing a portfolio so as to reduce the risk of
high losses. Value-at-Risk (VaR) has a role in the approach, but the emphasis is on …

… The minimization in the expanded problem (47) is converted then into the minimization of
g(x) over x∈X, the ζ i 's and all the new η ik 's, with the constraints F α i (x,ζ i )⩽ω i being …

This article studies formal optimal decision approaches for a multi‐period asset/liability
management model for a pension fund. The authors use Conditional Value‐at‐Risk (CVaR) as a …

… The first constraint (29) is the budget constraint; (30) requires portfolio’s expected return to
be equal to a prescribed value rp; finally, (31) imposes bounds on portfolio weights, where νi …

… formula suggested by Rockafellar and Uryasev [19]. This … The main idea in Rockafellar
and Uryasev [19] is to define a … We provide here two illustrations of Yamai and Yoshiba’s [30] …

… In particular, the space L2(Ω) contains all constant rv’s, X ≡ C. The letter C will always stand
for a constant in the real numbers IR, and any (in)equalities between rv’s are to be viewed …

This article has outlined a new approach for the simultaneous calculation of value-at-risk (VaR)
and optimization of conditional VaR (CVaR) for a broad class of problems. We have …

… field has been JP Morgan’s CreditMetrics methodology [5]. … obtained from Standard & Poor’s
transition matrix as of July … the forward rates implied by today’s term structure in each of the …