Results 271 to 280 of about 148,735 (300)

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
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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 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.
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Conditional value-at-risk: optimization algorithms and applications

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520), 2002
This article has outlined a new approach for the simultaneous calculation of value-at-risk (VaR) and optimization of conditional VaR (CVaR) for a broad class of problems. We have shown that CVaR can be efficiently minimized using LP techniques. Our numerical experiments show that CVaR optimal portfolios are near optimal in VaR terms, i.e., VaR cannot ...
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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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Multitrend Conditional Value at Risk for Portfolio Optimization

IEEE Transactions on Neural Networks and Learning Systems
Trend representation has been attracting more and more attention recently in portfolio optimization (PO) via machine learning methods. It adopts concepts and phenomena from the field of empirical and behavioral finance when little prior knowledge is obtained or strict statistical assumptions cannot be guaranteed.
Zhao-Rong Lai, Cheng Li 0018, Xiaotian Wu, Quanlong Guan, Liangda Fang   +4 more
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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
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The pricing of the illiquidity factor’s conditional risk with time-varying premium

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

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

2000
openaire   +2 more sources