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Dependent conditional value-at-risk for aggregate risk models [PDF]
Heliyon, 2021 Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the widely used risk measure of Value-at-Risk (VaR) has shown its performance
Bony Parulian Josaphat, Khreshna Syuhada
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Hedging Conditional Value at Risk with options [PDF]
European Journal of Operational Research, 2015 We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.
Capiński, Maciej J.
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A residual bootstrap for conditional Value-at-Risk [PDF]
Journal of Econometrics, 2020 A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Value-at-Risk. The bootstrap's consistency is proven for a general class of volatility models and intervals are constructed for the conditional Value-at-Risk.
Beutner, Eric +2 more
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Optimization with Multivariate Conditional Value-at-Risk Constraints [PDF]
Operations Research, 2013 For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area.
Noyan, Nilay, Rudolf, Gabor
core +9 more sources
Vector-valued multivariate conditional value-at-risk
Operations Research Letters, 2018 In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of VMCVaR over the existing definitions given for continuous random variables when adapted to the discrete case.
Meraklı, Merve, Küçükyavuz, Simge
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Maximum Varma Entropy Distribution with Conditional Value at Risk Constraints [PDF]
Entropy, 2020 It is well known that Markowitz’s mean-variance model is the pioneer portfolio selection model. The mean-variance model assumes that the probability density distribution of returns is normal. However, empirical observations on financial markets show that
Chang Liu, Chuo Chang, Zhe Chang
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Portfolio Selection Models Based on Interval-Valued Conditional Value-at-Risk (ICVaR) and Case Study on the Data from Stock Markets [PDF]
Fractal and Fractional, 2022 Risk management is very important for individual investors or companies. There are several ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a good tool to
Jinping Zhang, Keming Zhang
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Robust Conditional Variance Estimation and Value-at-Risk
The Journal of Risk, 2001 A common approach to estimating the conditional volatility of short horizon asset returns is to use an exponentially weighted moving average (EWMA) of squared past returns. The EWMA estimator is based on the maximum likelihood estimator of the variance of the normal distribution, and is thus optimal when returns are conditionally normal. However, there
Richard Harris, Cherif Guermat
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Conditional Value-at-Risk: Theory and Applications [PDF]
, 2015 62 pages (without bibliography and appendix), 27 figures, Dissertation presented for the degree of MSc in Operational Research, University of ...
Jakob Kisiala
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Green-Resilient Supplier Selection and Order Allocation Under Disruption by Utilizing Conditional Value at Risk: Mixed Response Strategies [PDF]
Process Integration and Optimization for Sustainability, 2022 Taghavi S +3 more
europepmc +3 more sources