Results 11 to 20 of about 690,474 (299)
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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Vector-valued multivariate conditional value-at-risk
Operations Research Letters, 2018 In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of VMCVaR over the existing definitions given for continuous random variables when adapted to the discrete case.
Meraklı, Merve, Küçükyavuz, Simge
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Hedging Conditional Value at Risk with options [PDF]
European Journal of Operational Research, 2015 We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.
Capiński, Maciej J.
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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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Optimization with Multivariate Conditional Value-at-Risk Constraints [PDF]
Operations Research, 2013 For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area.
Noyan, Nilay, Rudolf, Gabor
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A residual bootstrap for conditional Value-at-Risk [PDF]
Journal of Econometrics, 2020 A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Value-at-Risk. The bootstrap's consistency is proven for a general class of volatility models and intervals are constructed for the conditional Value-at-Risk.
Beutner, Eric +2 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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