Pages that link to "Item:Q2724706"
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The following pages link to Some remarks on the value-at-risk and the conditional value-at-risk (Q2724706):
Displaying 50 items.
- Robust scenario-based value-at-risk optimization (Q286009) (← links)
- Portfolio optimization with a copula-based extension of conditional value-at-risk (Q286012) (← links)
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs (Q299658) (← links)
- An algorithm for moment-matching scenario generation with application to financial portfolio optimisation (Q300037) (← links)
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk (Q300078) (← links)
- Risk management in portfolio applications of non-convex stochastic programming (Q300194) (← links)
- CVaR minimization by the SRA algorithm (Q300852) (← links)
- On relations between DEA-risk models and stochastic dominance efficiency tests (Q301149) (← links)
- VaR as the CVaR sensitivity: applications in risk optimization (Q313597) (← links)
- Multi-objective portfolio optimization considering the dependence structure of asset returns (Q319400) (← links)
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective (Q320900) (← links)
- CVaR (superquantile) norm: stochastic case (Q320902) (← links)
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement (Q320976) (← links)
- Portfolio optimization under loss aversion (Q322671) (← links)
- Portfolio optimization with disutility-based risk measure (Q322717) (← links)
- Bregman superquantiles. Estimation methods and applications (Q325014) (← links)
- The convergence of set-valued scenario approach for downside risk minimization (Q328216) (← links)
- Set-valued average value at risk and its computation (Q356482) (← links)
- A coupled Markov chain approach to credit risk modeling (Q433652) (← links)
- Statistically efficient construction of \(a\)-risk-minimizing portfolio (Q444218) (← links)
- CVaR norm and applications in optimization (Q476266) (← links)
- Kusuoka representations of coherent risk measures in general probability spaces (Q492837) (← links)
- Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment (Q513098) (← links)
- Constant rebalanced portfolio optimization under nonlinear transaction costs (Q538327) (← links)
- Continuous time portfolio selection under conditional capital at risk (Q609731) (← links)
- Conditional value-at-risk in portfolio optimization: coherent but fragile (Q635502) (← links)
- Asymptotic behavior of the empirical conditional value-at-risk (Q654809) (← links)
- A stochastic program with time series and affine decision rules for the reservoir management problem (Q723959) (← links)
- Insurance with multiple insurers: a game-theoretic approach (Q723965) (← links)
- Enhanced index tracking with CVaR-based ratio measures (Q827152) (← links)
- Sequential online subsampling for thinning experimental designs (Q830692) (← links)
- Portfolio selection with uncertain exit time: a robust CVaR approach (Q844601) (← links)
- On the conditional value-at-risk probability-dependent utility function (Q849311) (← links)
- Newsvendor solutions via conditional value-at-risk minimization (Q858416) (← links)
- Integrated chance constraints: reduced forms and an algorithm (Q867427) (← links)
- Optimization of expected shortfall on convex sets (Q889467) (← links)
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk (Q930955) (← links)
- A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios (Q957021) (← links)
- Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR (Q992696) (← links)
- Stochastic models for risk estimation in volatile markets: a survey (Q993727) (← links)
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law (Q1019977) (← links)
- Risk preference modeling with conditional average: An application to portfolio optimization (Q1026538) (← links)
- Models and simulations for portfolio rebalancing (Q1038764) (← links)
- Electricity swing options: behavioral models and pricing (Q1042024) (← links)
- The computation of the worst conditional expectation. (Q1427561) (← links)
- \textit{Ex-ante} real estate value at risk calculation method (Q1615788) (← links)
- Measurement errors in stock markets (Q1615793) (← links)
- CVaR distance between univariate probability distributions and approximation problems (Q1640043) (← links)
- Multiperiod portfolio investment using stochastic programming with conditional value at risk (Q1652255) (← links)
- Risk-averse formulations and methods for a virtual power plant (Q1652695) (← links)
