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Avtomatika i Telemekhanika, 2013, Issue 2, Pages 75–93 (Mi at4343)  
This article is cited in 1 scientific paper (total in 1 paper)

Stochastic Systems, Queuing Systems

Equivalence of the problems with quantile and integral quantile criteria

A. I. Kibzun, A. I. Chernobrovov

Moscow State Aviation Institute, Moscow, Russia
Full-text PDF (268 kB) Citations (1)
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Abstract: Consideration was given to the relation between the problems of stochastic programming with criteria in the form of quantile (VaR) and integral quantile (CVaR). Conditions were established for coincidence and distinction between their solutions. Different cases of the loss function and the distribution function of a random vector were discussed. In particular, the problem with bilinear loss function was explored to which the problem of generating the investment portfolio comes.
Presented by the member of Editorial Board: A. V. Nazin

Received: 02.05.2012
English version:
Automation and Remote Control, 2013, Volume 74, Issue 2, Pages 225–239
DOI: https://doi.org/10.1134/S0005117913020057
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Kibzun, A. I. Chernobrovov, “Equivalence of the problems with quantile and integral quantile criteria”, Avtomat. i Telemekh., 2013, no. 2, 75–93; Autom. Remote Control, 74:2 (2013), 225–239
Citation in format AMSBIB
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\issue 2
\pages 75--93
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\jour Autom. Remote Control
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\vol 74
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\pages 225--239
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  • https://www.mathnet.ru/eng/at/y2013/i2/p75
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:47
    First page:26
     
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