Results 271 to 280 of about 46,274,052 (301)

Efficient portfolio optimization with Conditional Value at Risk

Proceedings of the International Multiconference on Computer Science and Information Technology, 2010
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In the original Markowitz model the risk is measured by the variance while several polyhedral risk measures have been introduced leading to Linear Programming (LP) computable ...
Wlodzimierz Ogryczak, Tomasz Sliwinski
openaire   +2 more sources

Nonlinear prediction of conditional percentiles for value-at-risk

Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr) (IEEE Cat. No.99TH8408), 2003
We propose, implement and evaluate an approach to predicting conditional distribution tail percentiles, which corresponds to value-at-risk (VaR) when applied to financial asset return series. Our approach differs from current methods for measuring VaR in two basic ways. Firstly, while the standard variance-covariance framework assumes that asset return
Isaac J. Chang, Andreas S. Weigend
openaire   +2 more sources

Value-at-Risk and Conditional Value-at-Risk in Optimization Under Uncertainty

2018
This work is related to the use of various risk measures in the context of robust- and reliability-based optimization. We start from the definition of risk measure and its formal setting, and then, we show how different risk functional definitions can lead to different approaches to the problem of optimization under uncertainty.
openaire   +1 more source

Conditional value-at-risk: optimization algorithms and applications

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520), 2002
This article has outlined a new approach for the simultaneous calculation of value-at-risk (VaR) and optimization of conditional VaR (CVaR) for a broad class of problems. We have shown that CVaR can be efficiently minimized using LP techniques. Our numerical experiments show that CVaR optimal portfolios are near optimal in VaR terms, i.e., VaR cannot ...
openaire   +2 more sources

Multitrend Conditional Value at Risk for Portfolio Optimization

IEEE Transactions on Neural Networks and Learning Systems
Trend representation has been attracting more and more attention recently in portfolio optimization (PO) via machine learning methods. It adopts concepts and phenomena from the field of empirical and behavioral finance when little prior knowledge is obtained or strict statistical assumptions cannot be guaranteed.
Zhao-Rong Lai, Cheng Li 0018, Xiaotian Wu, Quanlong Guan, Liangda Fang   +4 more
openaire   +3 more sources

A general framework of importance sampling for value-at-risk and conditional value-at-risk

Proceedings of the 2009 Winter Simulation Conference (WSC), 2009
Lihua Sun, L. Jeff Hong
openaire   +1 more source

Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

2000
openaire   +2 more sources

Are Conditional Illiquidity Risks Priced in China? A Cross-Sectional Test

International Review of Financial Analysis, 2022
Libo Yin
exaly  

Optimization of conditional value-at-risk

The Journal of Risk, 2000
R. Tyrrell Rockafellar, Stanislav Uryasev   +1 more
openaire   +1 more source

Factors Influencing Risk-Based Care of the Childhood Cancer Survivor in the 21st Century

Ca-A Cancer Journal for Clinicians, 2018
Israel Fernandez-Pineda, Melissa M. Hudson, Les Robison   +2 more
exaly