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Multitrend Conditional Value at Risk for Portfolio Optimization
IEEE Transactions on Neural Networks and Learning SystemsTrend 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 +4 more
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Analytical method of computing stressed value-at-risk with conditional value-at-risk
The Journal of Risk, 2016This paper develops an analytical form of stressed value-at-risk (analytical SVaR), one of the most important changes implemented by Basel II, using conditional value-at-risk (CoVaR). We also validate analytical SVaR empirically and theoretically. The proposed analytical risk measure can be readily applied to the existing risk-management framework.
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Conditional Value-at-Risk Robust Optimization
SSRN Electronic Journal, 2022P.A. Nguyen, Daniel Mitchell
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American Cancer Society nutrition and physical activity guideline for cancer survivors
Ca-A Cancer Journal for Clinicians, 2022Cheryl L Rock +2 more
exaly
Optimization of conditional value-at-risk
The Journal of Risk, 2000R. Tyrrell Rockafellar +1 more
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Conditional Value at Risk (CoVAR)
The Business & Management Collection, 2010openaire +1 more source