Results 181 to 190 of about 14,389 (211)

Worst-case VaR and CVaR

2006
The main goal of this paper is to derive and compare values of worst-case VaR and CVaR under different type of information on distribution of random parameter. To this purpose we exploit results from moment problem theory and apply upper bound of loss probability of univariate random variable with special properties, given expected value and variance ...
openaire   +1 more source

CVaR-based retail electricity pricing in day-ahead scheduling of microgrids

Energy, 2021
Mousa Marzband
exaly  

Two-stage distributionally robust programming based on worst-case mean-CVaR criterion and application to disaster relief management

Transportation Research, Part E: Logistics and Transportation Review, 2021
Weiqiao Wang, , Lixing Yang
exaly  

Assessment of pre and post-disaster supply chain resilience based on network structural parameters with CVaR as a risk measure

International Journal of Production Economics, 2020
Vijaya Dixit, Manoj Kumar Tiwari
exaly  

Optimal asset allocation using CVaR

In our study, we present and analyze some categories of risk that affect theportfolio management. We cite and analyze the most known risk metrics used by assetmanagers. We discuss the important and complementary role of derivatives to theportfolio management and we also analyze the variety of derivative products.
openaire   +1 more source

A risk-averse and buyer-led supply chain under option contract: CVaR minimization and channel coordination

International Journal of Production Economics, 2020
Yongyi Shou
exaly  

Perspective of uncertainty and risk from the CVaR-LCOE approach: An analysis of the case of PV microgeneration in Minas Gerais, Brazil

Energy, 2021
Giancarlo Aquila, Edson de Oliveira Pamplona, Wilson Toshiro Nakamura   +2 more
exaly  

CVaR-based energy management scheme for optimal resilience and operational cost in commercial building microgrids

International Journal of Electrical Power and Energy Systems, 2018
Mehdi Tavakoli, Mousa Marzband, Ionel Vechiu   +2 more
exaly  

CVAR Bounds in Risk Aggregation

SSRN Electronic Journal, 2017
Alexandru Vali Asimit, Yuriy Zinchenko
openaire   +1 more source

Application of CVaR risk aversion approach in the dynamical scheduling optimization model for virtual power plant connected with wind-photovoltaic-energy storage system with uncertainties and demand response

Energy, 2017
Liwei Ju, Qingkun Tan
exaly