Results 111 to 120 of about 14,389 (211)

Managing the Risk via the Chi-Squared Distribution in VaR and CVaR with the Use in Generalized Autoregressive Conditional Heteroskedasticity Model

Mathematics
This paper develops a framework for quantifying risk by integrating analytical derivations of Value at Risk (VaR) and Conditional VaR (CVaR) under the chi-squared distribution with empirical modeling via Generalized Autoregressive Conditional ...
Fazlollah Soleymani, Qiang Ma, Tao Liu
doaj   +1 more source

A two-stage distributionally robust CVaR-constrained framework and its approximations for self-scheduling microgrid

International Journal of Electrical Power & Energy Systems
This paper proposes a two-stage distributionally robust conditional value-at-risk constrained (TS-DR-CVaR) framework and its computable approximations for the economic self-scheduling of microgrid problems considering the uncertainty of renewable energy ...
Chen Zhang, Jinbao Jian, Linfeng Yang
doaj   +1 more source

A Comparison of Parametric and Sampling Approaches to Portfolio Investment Selection using FTSE100 Stocks [PDF]

In this paper we assess the effectiveness of two approaches to portfolio selection: the more customary parametric approach and a sampling approach using a sample of two years of daily data for the top 100 UK stocks for a period from the beginning of 2006
David E. Allen, Seyed-Ali Hosseini-Yekani   +1 more
core  

Optimal Investment Strategy for DC Pension Plan with Stochastic Salary and Value at Risk Constraint in Stochastic Volatility Model

Axioms
This paper studies the optimal asset allocation problem of a defined contribution (DC) pension plan with a stochastic salary and value under a constraint within a stochastic volatility model.
Zilan Liu, Huanying Zhang, Yijun Wang, Ya Huang   +3 more
doaj   +1 more source

OPTIMAL PORTFOLIO ALLOCATION WITH CVAR: A ROBUSTAPPROACH [PDF]

, 2011
The paper discuss the sensitivity to the presence of outliers of the portfolio optimization procedure based on the expected shortfall as a measure of risk. A robust approach based on the forward search is then suggested which seems to give quite good results.
Grossi, Luigi, Laurini, Fabrizio, SCANDOLO, GIACOMO   +2 more
openaire   +1 more source

Portfolio Optimization with CVaR

, 2008
In times of great insecurity and turbulence on every major stock exchange, it is evident that controlling the risks in ones investment strategies is an important issue for the entire global economy. Perhaps there is no such thing as a golden rule on how to manage a portfolio, but history shows that focusing too much on the return is risky business.
openaire   +1 more source

Portfolio selection with CVaR constraint.

, 2002
The purpose of this thesis is to develop a portfolio selection approach that is theoretically similar to Markowitz Mean Variance model, that is, to maximize return for a given risk; flexible enough to incorporate a wide variety of assets and risk types; and if possible able to andle portfolios with a large number of assets efficiently.
Chua, Serene Ee Ling., Soh, Tuck Weng., Wee, Cheng Sim.   +2 more
openaire   +1 more source

Signals of interstitial lung disease with novel antineoplastic agents in ovarian cancer: a three-database disproportionality study. [PDF]

Front Pharmacol
Yang C, Song X, Sun H, Chen M, Chen X, Liu C, Wang Z, Zhu X.   +7 more
europepmc   +1 more source

Credible capacity evaluation of virtual power plants considering wind and PV uncertainties. [PDF]

Sci Rep
Li C, Dai J, Zhu S, Guo R, Liu Z, Jiang Y, Tian S, Wen Y.   +7 more
europepmc   +1 more source