Results 201 to 210 of about 14,389 (211)

Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

European Journal of Operational Research, 2018
, Stavros A Zenios
exaly  

CVaR-Hedging: Theory and applications

2017
Alexander Melnikov, Amir Nosrati
openaire   +1 more source

Conditional Value-at-Risk (CVaR)

2013
Gaia Serraino, Stanislav Uryasev
openaire   +1 more source

Mean–CVaR portfolio selection: A nonparametric estimation framework

Computers and Operations Research, 2013
Haixiang Yao
exaly  

Statistické testy pro VaR a CVaR

2016
The thesis presents test statistics of Value-at-Risk and Conditional Value-at-Risk. The reader is familiar with basic nonparametric estimators and their asymptotic distributions. Tests of accuracy of Value-at- Risk are explained and asymptotic test of Conditional Value-at-Risk is derived.
openaire   +1 more source

Supply chain coordination with trade credit under the CVaR criterion

International Journal of Production Research, 2019
exaly  

Improved Concentration Bound for CVaR

2024 International Joint Conference on Neural Networks (IJCNN)
Peng Sima, Hao Deng, Xuelin Zhang, Hong Chen   +3 more
openaire   +1 more source

Optimal decisions for the loss-averse newsvendor problem under CVaR

International Journal of Production Economics, 2015
exaly  

CVaR risk-based optimization framework for renewable energy management in distribution systems with DGs and EVs

Energy, 2018
exaly  

Minimizing CVaR and VaR for a portfolio of derivatives

Journal of Banking and Finance, 2006
exaly