Results 61 to 70 of about 692,395 (345)

Multivariate Fréchet copulas and conditional value‐at‐risk [PDF]

International Journal of Mathematics and Mathematical Sciences, 2004
Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas.
openaire   +2 more sources

COVID‐19 Vaccination is not Associated with the Development of Idiopathic Inflammatory Myositis in U.S. Veterans

Arthritis Care &Research, Accepted Article.
Objective Several case reports have proposed a potential association between COVID‐19 vaccination and the subsequent development of idiopathic inflammatory myositis (IIM). This study examined prior COVID‐19 vaccination in US Veterans who developed new‐onset IIM compared to those without new‐onset IIM.
Caleb Hernández, Naomi Schlesinger, Jorge Rojas, Jessica A. Walsh, Tawnie J Braaten, Gary A Kunkel, Makoto Jones, Brian C Sauer, Julio Facelli, Grant W. Cannon, Dorota Lebiedz‐Odrobina   +10 more
wiley   +1 more source

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers [PDF]

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk ...
Birbil, S.I., Frenk, J.B.G., Kaynar, B.
core   +4 more sources

Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation

Risks, 2019
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem.
Nader Trabelsi, Aviral Kumar Tiwari
doaj   +1 more source

Expanding Chemical Space of Nucleic Acid Nanoparticles for Tunable Antiviral‐Like Immunomodulatory Responses and Potent Adjuvant Activity

Advanced Functional Materials, EarlyView.
We introduce a nucleic acid nanoparticle (NANP) platform designed to be rrecognized by the human innate immune system in a regulated manner. By changing chemical composition while maintaining constant architectural parameters, we identify key determinants of immunorecognition enabling the rational design of NANPs with tunable immune activation profiles
Martin Panigaj, Hannah S. Newton, Jian Wang, Laxmi Pandey, Yelixza I. Avilla, Phong Nguyen, Morgan Chandler, Justin Halman, Yasmine Radwan, Stephanie Smith, Elijah Edmondson, Simone Difilippantonio, Chelsea Sanders, Bao Tran, Yongmei Zhao, Shaojun Xie, Edward Cedrone, Barry W. Neun, Meni Wanunu, Nikolay V. Dokholyan, Marina A. Dobrovolskaia, Kirill A. Afonin   +21 more
wiley   +1 more source

Conditional Value-at-Risk for General Loss Distributions

SSRN Electronic Journal, 2001
Fundamental properties of conditional value-at-risk, as a measure of risk with significant advantages over value-at-risk, are derived for loss distributions in finance that can involve discreetness. Such distributions are of particular importance in applications because of the prevalence of models based on scenarios and finite sampling.
Department of Mathematics, University of Washington, P.O. Box 354350, Seattle, WA 98195-4350, USA ( host institution ), Rockafellar, R.Tyrrell ( author ), Uryasev, Stanislav ( author )   +2 more
openaire   +2 more sources

Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]

, 2008
We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Nieto, María Rosa, Ruiz, Esther
core   +1 more source

Portfolio selection models: A review and new directions [PDF]

, 2009
Modern Portfolio Theory (MPT) is based upon the classical Markowitz model which uses variance as a risk measure. A generalization of this approach leads to mean-risk models, in which a return distribution is characterized by the expected value of return (
Acerbi, Albrecht, Arditti, Artzner, BAWA, Bernoulli, Dentcheva, Dentcheva, Embrechts, Fama, Fishburn, Group of Thirty, Hadar, Jorion, Kaut, Konno, Konno, Kroll, Larsen, Lehmann, Leyffer, Mansini, Markowitz, Markowitz, Marshall, Morgan, Ogryczak, Ogryczak, Ortobelli, Perold, Pflug, Pratt, Quirk, Rockafellar, Rockafellar, Rockafellar, Rockafellar, Roman, Roman, Roy, Scott, Sharpe, Speranza, Tasche, Unser, von Neumann, Whitmore, Yamai, Yitzhaki   +48 more
core   +1 more source

Bioprinting Organs—Science or Fiction?—A Review From Students to Students

Advanced Healthcare Materials, EarlyView.
Bioprinting artificial organs has the potential to revolutionize the medical field. This is a comprehensive review of the bioprinting workflow delving into the latest advancements in bioinks, materials and bioprinting techniques, exploring the critical stages of tissue maturation and functionality.
Nicoletta Murenu, Camilla Mussoni, Mateo S. Andrade Mier, Paula Buettner, Nathaly Chicaiza‐Cabezas, Yi‐Yu Robin Dai, Jessica Faber, Maren Fiedler, Zan Lamberger, Xuen Jen Ng, Vanessa Moessler, Anna Rederer, Jonas Roeder, Sabrina Stecher, Katinka Theis, Jeanette Weigelt, Silvia Budday, Gregor Lang, Natascha Schaefer   +18 more
wiley   +1 more source

CVaR in Measuring Sector's Risk on the Croatian Stock Exchange

Business Systems Research, 2018
Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is applied to the Croatian stock market to estimate the risk for 8 sectors in Croatia.
Aljinović Zdravka, Trgo Andrea
doaj   +1 more source