Results 241 to 250 of about 141,957 (261)

Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

2000
openaire   +2 more sources

Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach

International Review of Economics and Finance, 2020
Liqing Huang, Bangzhu Zhu
exaly  

Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

Operations Research, 2009
Masao Fukushima, Shushang Zhu
exaly  

Conditional and dynamic convex risk measures

Finance and Stochastics, 2005
Giacomo Scandolo
exaly  

Newsvendor solutions via conditional value-at-risk minimization

European Journal of Operational Research, 2007
Jun-Ya Gotoh, Yuichi Takano
exaly  

Optimization of conditional value-at-risk

The Journal of Risk, 2000
R. Tyrrell Rockafellar, Stanislav Uryasev   +1 more
openaire   +1 more source

Risk-consistent conditional systemic risk measures

Stochastic Processes and Their Applications, 2016
Gregor Svindland, Thilo Meyer-Brandis
exaly  

Conditional value-at-risk in portfolio optimization: Coherent but fragile

Operations Research Letters, 2011
Andrew Lim, J George Shanthikumar
exaly  

Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models

Journal of Business and Economic Statistics, 2019
Yannick Hoga
exaly  

Non‐parametric Estimation of Extreme Risk Measures from Conditional Heavy‐tailed Distributions

Scandinavian Journal of Statistics, 2014
Stéphane Girard, Jonathan El Methni
exaly