Results 61 to 70 of about 44,115,319 (296)

Inference for conditional value-at-risk of a predictive regression

The Annals of Statistics, 2020
The authors deal with the inference problem of conditional value-at-risk under a linear predictive regression model. Denote by \(Y\) the return of an asset and let \(X = (X_1, \dots, X_k)^{\top}\) be a collection of predictors (market variables or risk factors).
He, Y., Hou, Y., Peng, L., Shen, H.
openaire   +5 more sources

Ontology‐Aligned Structuring and Reuse of Multimodal Materials Data and Workflows Toward Automatic Reproduction

Advanced Engineering Materials, EarlyView.
Reproduction of stacking fault energy calculations from literature with a semi‐automated large language model‐assisted extraction procedure: extraction of simulation protocol, atomistic structures, computational parameters, and reported results, ontology alignment, knowledge graph construction and, finally, recomputation forvalidation.
Sepideh Baghaee Ravari, Abril Azocar Guzman, Sarath Menon, Stefan Sandfeld, Tilmann Hickel, Markus Stricker   +5 more
wiley   +1 more source

A Method on Solving Multiobjective Conditional Value-at-Risk [PDF]

, 2004
This paper studies Conditional Value-at-Risk (CVaR) with multiple losses. We introduce the concept of α-CVaR for the case of multiple losses under the confidence level vector α. The α-CVaR indicates the conditional expected losses corresponding to the α-VaR. The problem of solving the minimal α-CVaR results in a multiobjective problem (MCVaR). In order
Min Jiang, Qiying Hu, Zhiqing Meng
openaire   +1 more source

Computational aspects of minimizing conditional value-at-risk [PDF]

Computational Management Science, 2006
We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as two-stage recourse problems of stochastic programming. Specializing the L-shaped method leads to a
Mayer, János, Künzi-Bay, Alexandra
openaire   +3 more sources

Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk [PDF]

, 2009
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying ...
Maurer, Raimond H., Vo, Huy Thanh, Maurer, Raimond, Bugár, Gyöngyi   +3 more
core  

DigiChrom: A Domain Ontology for Semantic Representation of Trivalent Chromium Platings and Its Large Language Model‐Based Alignment With Multiple Mid‐Level Ontologies

Advanced Engineering Materials, EarlyView.
Digitalizing electroplating requires both domain knowledge and interoperability. This work introduces PlatOn, a domain ontology for trivalent chromium plating and coating characterization, and a hybrid pipeline that aligns it to a mid‐level reference ontology by combining eight similarity metrics with language model reasoning. Expert‐validated mappings
Janik Harter, Elena Garcia Trelles, Christoph Schweizer, Thomas Seifert, Christoph Baumer, Mahmoud Elkady, Katja Feige, Daniel Grimme, Edgar Hoffmann, Andreas Waibel, Anke Walter   +10 more
wiley   +1 more source

A new Bayesian method for estimation of value at risk and conditional value at risk

Empirical Economics
Abstract Value at Risk (VaR) and Conditional Value at Risk (CVaR) have become the most popular measures of market risk in Financial and Insurance fields. However, the estimation of both risk measures is challenging, because it requires the knowledge of the tail of the distribution. Therefore, Extreme Value Theory initially seemed to be one of
Jacinto Martín, M. Isabel Parra, Mario M. Pizarro, Eva L. Sanjuán   +3 more
openaire   +3 more sources

Materials‐Driven Additive Manufacturing for Electrical Machines: Qualification‐Oriented Design Beyond Geometric Freedom

Advanced Engineering Materials, EarlyView.
This perspective reframes additive manufacturing for electrical machines as a qualification‐limited materials and architecture design problem. It links process–structure–property–performance relationships to magnetic, conducting, dielectric, and thermal property windows, highlighting where AM can enable segmented magnetic circuits, permanent magnet ...
Dénes Fodor, Loránd Szabó
wiley   +1 more source

Interval Optimization In Portfolio Selection with Conditional Value At Risk [PDF]

تحقیقات مالی, 2017
In this paper portfolio selection problem with interval optimization approach is surveyed. CVaR is risk measure. CVaR is the expected loss depending on the chosen confidence level.
Amir Abbas Najafi, Kobra Nopour, Alireza Ghatarani   +2 more
doaj   +1 more source

Spatial Control of Light‐Responsive Proteins and Optogenetics Within Hydrogels via Volumetric Bioprinting

Advanced Materials, EarlyView.
Spatiotemporal control over cell behavior within bioprinted constructs remains a key challenge in biofabrication. Volumetric bioprinting using multi‐wavelength light sources permits to activate light‐sensitive intracellular proteins as well as optogenetic gene and protein expression circuits in bioprinted cells, in addition to enabling fast printing of
Davide Ribezzi, Pere Català, Gabriel Größbacher, Paulina Nuñez Bernal, Olaf Nijssen, Sammy Florczak, Wilco Nijenhuis, Nuria Crusellas‐Villorbina, Bram Nijhoff, Paul Delrot, Jos Malda, Andreas Hierholzer, Martin Fussenegger, Lukas C. Kapitein, Riccardo Levato   +14 more
wiley   +1 more source