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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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
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Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [PDF]
تحقیقات مالی, 2020 Objective: Risk management is one of the most important areas of study in finance, and its vital role in the field has attracted the attention of managers and investors in in various sectors of the industry.
Reza Raei +2 more
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Energy risk measurement and hedging analysis by nonparametric conditional value at risk model
Frontiers in Energy Research, 2022 The accurate measurement and management of energy risk have become important issues of the economic development and energy security for all countries. The existing literature generally adopts the Value at Risk (VaR).
Ling Li, Guopeng Hu
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
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Risk-Sensitive Safety Analysis Using Conditional Value-at-Risk [PDF]
IEEE Transactions on Automatic Control, 2022 This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal control problem, where a random maximum cost is assessed via Conditional Value-at-Risk (CVaR).
Margaret P. Chapman +5 more
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