conditional value-at-risk (CVaR)
Minimizing Conditional Value at Risk under Constraint on Expected Value
... Although Value-at-Risk is the most dominant risk measure used in practice, it fails one of the four general properties, proposed by Artzner et ...coherent risk measure should possess, namely ...
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The relationship between conditional value at risk and option prices with a closed-form solution
... (conditional value at risk) are significant areas of research in their own right, moreover, both are important to risk management and understanding of ...CVaR risk of ...important ...
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Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
... Conditional Value-at-Risk (CVaR), defined as the mean of the tail distribution exceeding VaR, has attracted much attention in recent ...of risk, CVaR exhibits some better properties than ...
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Minimizing the Conditional Value-at-Risk for a Single Operating Room Scheduling Problem
... the conditional value-at-risk (CVaR) as a ...the risk-averse attitude of the scheduler to the risk event that the expected end time of a surgery presumed by a surgeon can be ...
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Multivariate Fréchet copulas and conditional value at risk
... multivariate conditional value-at-risk for the Marshall-Olkin is greater than for the lin- ear Spearman, while by negative dependence, it is smaller for the Gumbel than for the linear ...the ...
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A modified mean-variance-conditional value at risk model of multi-objective portfolio optimization with an application in finance
... the risk and to maximize the return of the portfolio selection increases the performance of their ...MV conditional value at risk (MVC) model added a parameter, the CVaR to the objective ...
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Copula-based agricultural conditional value-at-risk modelling for geographical diversifications in wheat farming portfolio management
... the Conditional Value-at-Risk (CVaR) and the joint copula models were employed to evaluate the effectiveness geographical ...downside risk), while the copula function is employed to model the ...
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Conditional Value at Risk for Random Immediate Reward Variables in Markov Decision Processes
... of risk for income or loss random variables, the variance has been commonly considered since Mark- owitz work ...many risk measures have been generated and analyzed by an economically motivated optimization ...
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Looking for efficient qml estimation of conditional value at risk at multiple risk levels
... of conditional Value-at-Risk (VaR) at several levels, in the framework of general GARCH-type ...The conditional VaR at level α is expressed as the product of the volatility and the opposite of ...
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Presenting a Model for Multiple-Step-Ahead-Forecasting of Volatility and Conditional Value at Risk in Fossil Energy Markets
... at Risk by ES-type models have not been used in any study ...of Value at Risk and Conditional Value at ..., Value at Risk, and Conditional Value at ...
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Portfolio Optimization with Reward-Risk Ratio Measure based on the Conditional Value-at-Risk
... CVaR risk-reward ratio optimization (14) to an LP model, we can take ad- vantages of the LP duality to get a model formulation providing higher computational ...
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Portfolio Optimization in Electricity Market Using a Novel Risk Based Decision Making Approach
... short-term risk aversion preferences and devises optimal strategies to participate in energy and ancillary services markets and forward contracts, in which the possibility of involvement in arbitrage opportunities ...
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Conditional Value at Risk and Average Value at Risk: Estimation and Asymptotics
... Estimators obtained from di erent methods are omputed; quantile based estimator referred to as \QVaR" and LSR estimator referred to as \RVaR" for the onditional VaR, mixed quantile estim[r] ...
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On the economic risk capital of portfolio insurance
... economic risk capital as measured by value-at-risk or conditional value-at-risk (CVaR) remains constant, provided the loss probability is suffi- ciently ...
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Implemented in Portfolio Safeguard by AOrDa.com
... the risk of high losses. Value-at-Risk (VaR) has a role in the approach, but the emphasis is on Conditional Value-at-Risk (CVaR), which is known also as Mean Excess Loss, Mean ...
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Minimization of Portfolio Risk using Three Different Methods (A Comparative Study)
... Portfolio risk plays an important role in stock market decisions. This paper considers an alternative idea which is to compute the risk assuming fixed return. Three different methods used to study this ...
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Bayesian CV@R/super quantile regression
... In this paper we provide a Bayesian interpretation of the conditional value at risk, CV@R, or super-quantile regression recently developed by Rockafellar, Royset and Miranda (2014). Computations are ...
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Optimizing the deployment of automated external defibrillators by a data driven algorithmic approach
... a conditional value-at-risk objective function to mitigate the risk of unacceptably long distances between cardiac arrest locations and their nearest ...
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Hakim
... TRM value, this paper uses conditional Value-at-Risk (VaR), with the help of Glosten-Jagannathan-Runkle (GJR) model to estimate the conditional ...
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Dependence and Value at Risk in the Stock Markets from the Americas: A Copula Approach
... Extreme Value theory, and GARH models; countries included in the portfolio are Germany, Spain, France, and ...portfolio risk for six Asian markets using copula-extreme value based on semiparametric ...
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