Results 271 to 280 of about 237,695 (301)

Vom Value at Risk zum Conditional Value at Risk

2003
In diesem hinfuhrenden Abschnitt werden mehr oder weniger zufallig ausgewahlte Zitate von Beschreibungen bzw. Definitionen des Value at Risk aufgefuhrt. Sie stellen keine Voraussetzungen fur die nachfolgenden Ausfuhrungen dar, sie mogen vielmehr die Vielfalt der Aspekte und deren Breite verdeutlichen.
Werner Dinkelbach, Andreas Kleine
openaire   +1 more source

Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk

Operations Research Letters, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lihua Sun, L. Jeff Hong
openaire   +2 more sources

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   +1 more source

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   +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   +1 more source

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

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   +2 more sources

Analytical method of computing stressed value-at-risk with conditional value-at-risk

The Journal of Risk, 2016
This paper develops an analytical form of stressed value-at-risk (analytical SVaR), one of the most important changes implemented by Basel II, using conditional value-at-risk (CoVaR). We also validate analytical SVaR empirically and theoretically. The proposed analytical risk measure can be readily applied to the existing risk-management framework.
openaire   +1 more source

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

Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall

Journal of the American Statistical Association, 2021
Liang Peng, Gengsheng Qin
exaly