Keyword: value at risk

Found 24 papers in total
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
2016,
A general methodology for modeling loss data depending on covariates is developed. The...
Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
2015,
In this paper, we develop a distributionally robust portfolio optimization model where...
Measurement of bivariate risks by the north‐south quantile points approach
Measurement of bivariate risks by the north‐south quantile points approach
2014,
This paper attempts to determine the Value at Risk (VaR) and Conditional Value at Risk...
Portfolio‐optimization models for small investors
Portfolio‐optimization models for small investors
2013,
Since 2010, the client base of online‐trading service providers has grown...
Worst‐Case Value at Risk of Nonlinear Portfolios
Worst‐Case Value at Risk of Nonlinear Portfolios
2013,
Portfolio optimization problems involving value at risk (VaR) are often...
Evaluating Value‐at‐Risk Models with Desk‐Level Data
Evaluating Value‐at‐Risk Models with Desk‐Level Data
2011,
We present new evidence on disaggregated profit and loss (P/L) and...
Iterative estimation maximization for stochastic linear programs with conditional value‐at‐risk constraints
Iterative estimation maximization for stochastic linear programs with conditional value‐at‐risk constraints
2012,
We present a new algorithm, iterative estimation maximization (IEM), for stochastic...
Bounds for nested law invariant coherent risk measures
Bounds for nested law invariant coherent risk measures
2012,
With every law invariant coherent risk measure is associated its conditional analogue....
Entropic Value‐at‐Risk: A New Coherent Risk Measure
Entropic Value‐at‐Risk: A New Coherent Risk Measure
2012,
This paper introduces the concept of entropic value‐at‐risk (EVaR), a...
Finite change comparative statics for risk‐coherent inventories
Finite change comparative statics for risk‐coherent inventories
2011,
This work introduces a comprehensive approach to the sensitivity analysis (SA) of...
Conditional value‐at‐risk in portfolio optimization: Coherent but fragile
Conditional value‐at‐risk in portfolio optimization: Coherent but fragile
2011,
We evaluate conditional value‐at‐risk (CVaR) as a risk measure in...
Incorporating higher moments into value‐at‐risk forecasting
Incorporating higher moments into value‐at‐risk forecasting
2010,
Value‐at‐risk (VaR) forecasting generally relies on a...
Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
2010,
Conditional Value-at-Risk (CVaR) is a portfolio evaluation function having appealing...
From CVaR to uncertainty set: Implications in joint chance-constrained optimization
From CVaR to uncertainty set: Implications in joint chance-constrained optimization
2010,
We review and develop different tractable approximations to individual...
Living on the edge: how risky is it to operate at the limit of the tolerated risk?
Living on the edge: how risky is it to operate at the limit of the tolerated risk?
2010,
This paper studies some of the implicit risks associated with strategies followed by a...
Robust portfolios: contributions from operations research and finance
Robust portfolios: contributions from operations research and finance
2010,
In this paper we provide a survey of recent contributions to robust portfolio...
Sample average approximation of expected value constrained stochastic programs
Sample average approximation of expected value constrained stochastic programs
2008,
We propose a sample average approximation (SAA) method for stochastic programming...
Solving optimal investment problems with structured products under CVaR constraints
Solving optimal investment problems with structured products under CVaR constraints
2009,
We consider a simple investment problem where besides stocks and bonds the investor...
On the non-existence of conditional value-at-risk under heavy tails and short sales
On the non-existence of conditional value-at-risk under heavy tails and short sales
2009,
Value-at-Risk (VaR) and conditional value-at-risk (CVaR) are important risk measures....
Efficient frontier of utility and CVaR (Conditional Value at Risk)
Efficient frontier of utility and CVaR (Conditional Value at Risk)
2009,
We study the efficient frontier problem of maximizing the expected utility of terminal...
Relationship between inflation and inflation uncertainty: The case of Serbia
Relationship between inflation and inflation uncertainty: The case of Serbia
2009,
The purpose of this paper is to examine the relationship between inflation and...
A risk-averse newsvendor model under the CVaR criterion
A risk-averse newsvendor model under the CVaR criterion
2009,
The classical risk-neutral newsvendor problem is to decide the order quantity that...
Autoregressive conditional moments in VaR estimate with Gram‐Charlier and Cornish‐Fisher expansions
Autoregressive conditional moments in VaR estimate with Gram‐Charlier and Cornish‐Fisher expansions
2009,
This paper proposes a model to compute value at risk by means of Gram‐Charlier...
A conditional value‐at‐risk model for insurance products with a guarantee
A conditional value‐at‐risk model for insurance products with a guarantee
2009,
We propose a model to select the optimal portfolio which underlies insurance policies...
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