A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series

DOI10.1007/S10287-023-00488-6MaRDI QIDQ6149574

Carlin C. F. Chu, Simon S. W. Li

Publication date: 6 February 2024

Published in: Computational Management Science (Search for Journal in Brave)

zbMATH Keywords

goal programming modelmultiple criteria decision analysispeaks over thresholdEVTgeneralized pareto distribution

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Multiple criteria decision aiding for finance: an updated bibliographic survey
• An application of extreme value theory for measuring financial risk
• Multivariate generalized Pareto distributions
• Multiple criteria decision making combined with finance: a categorized bibliographic study.
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• Goal programming for decision making: An overview of the current state-of-the-art
• Modeling uncertainty in multi-criteria decision analysis
• Generalized Pareto copulas: a key to multivariate extremes
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk
• Optimum multivariate stratified double sampling design: Chebyshev's Goal Programming approach
• Threshold selection for regional peaks-over-threshold data
• Quantile estimation for the generalized pareto distribution with application to finance
• Extreme Value Theory as a Risk Management Tool

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