Results 231 to 240 of about 141,957 (261)

Conditional value‐at‐risk beyond finance: a survey

International Transactions in Operational Research, 2019
AbstractA large number of problems involve making decisions in an uncertain environment and, hence, with unknown outcomes. Optimization models aimed at controlling the trade‐off between risk and return in finance have been widely studied since the seminal work by Markowitz in 1952.
Filippi, C., Guastaroba, G., Speranza, M. G.   +2 more
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Forecasting value at risk and conditional value at risk using option market data

Journal of Forecasting, 2020
AbstractWe forecast monthly value at risk (VaR) and conditional value at risk (CVaR) using option market data and four different econometric techniques. Independent from the econometric approach used, all models produce quick to estimate forward‐looking risk measures that do not depend from the amount of historical data used and that, through the ...
Annalisa Molino, Carlo Sala
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk

Operations Research Letters, 2010
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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

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

Risk factor beta conditional value‐at‐risk

Journal of Forecasting, 2008
AbstractWe propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio returns given the historical values of the underlying ...
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Value at Risk and Conditional Value at Risk in the Risk Management of Indian Stock Portfolios

Successful investment involves maximizing rewards while minimizing risk. Investors and traders consider risk while making investment decisions, which is often the deciding element in accepting or rejecting an asset or security. The study focuses on risk management in Indian stock portfolios and VaR and CVaR models for risk valuation. The study compares
Syamraj KP., Regina Sibi Cleetus
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Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall

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

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

The pricing of the illiquidity factor’s conditional risk with time-varying premium

Journal of Financial Markets, 2021
Joonki Noh, Yakov Amihud
exaly