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CVaR (superquantile) norm: Stochastic case [PDF]
European Journal of Operational Research, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mafusalov, Alexander, Uryasev, Stan
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CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles [PDF]
Journal of Risk and Financial Management, 2019 A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called CVaR (superquantile) regression.
Alex Golodnikov +2 more
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Stock market risk measured by VaR nad CVaR: A comparison study
Trendy v podnikání, 2020 VaR and CVaR are effective quantitative measurement of market risk. These measures can quantify the risk of unexpected changes within a given period. In this paper, we examine the market risk of four stock indices: the Czech PX, the Austrian ATX, the ...
Jiří Málek, Tran van Quang
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A Reverse ES (CVaR) Optimization Formula
North American Actuarial Journal, 2023 The celebrated Expected Shortfall (ES) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function. We establish a reverse ES optimization formula, which says that a mean excess function at any fixed threshold is the maximum of an ES curve minus a linear function. Despite
Guan, Yuanying +2 more
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Zhejiang dianli, 2023 With the advancement of China’s electricity spot market construction， it has become a prevailing trend for new energy to participate in the spot market. However， the output uncertainty of new energy debilitates its market competitiveness.
LIU Jun +4 more
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AM: Art + Media, 2017 As stated by Giorgio Agamben, in Western philosophy, potentiality is part of a very long tradition. Potentiality represents one of the central concepts of Western philosophy, already claiming this status with Aristotle, who posited potentiality against ...
Nina Cvar
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On Polyhedral Coherent Risk Measures and Portfolio Optimization Problems
Кібернетика та комп'ютерні технології, 2022 Introduction. The problem of decision-making under risk and uncertainty lies in the use of adequate criteria for assessing their optimality, in particular, in an adequate risk assessment. Various functions are known that are used as risk measures.
Vladimir Kirilyuk
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Risk Minimization, Regret Minimization and Progressive Hedging Algorithms [PDF]
, 2020 This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty.
Sun, Jie +3 more
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Optimisation of mixed assets portfolio using copula differential evolution: A behavioural approach
Cogent Economics & Finance, 2020 Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient explanatory power for use in actual decision-making problems. In this study, two distinct asset classes (i.e.
Kofi Agyarko Ababio +2 more
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