Results 41 to 50 of about 14,389 (211)

Using Entropy to Forecast Bitcoin’s Daily Conditional Value at Risk

Proceedings, 2019
Conditional value at risk (CVaR), or expected shortfall, is a risk measure for investments according to Rockafellar and Uryasev. Yamai and Yoshiba define CVaR as the conditional expectation of loss given that the loss is beyond the value at risk (VaR ...
Hellinton H. Takada, Sylvio X. Azevedo, Julio M. Stern, Celma O. Ribeiro   +3 more
doaj   +1 more source

A novel brain-controlled wheelchair combined with computer vision and augmented reality

BioMedical Engineering OnLine, 2022
Background Brain-controlled wheelchairs (BCWs) are important applications of brain–computer interfaces (BCIs). Currently, most BCWs are semiautomatic.
Kaixuan Liu, Yang Yu, Yadong Liu, Jingsheng Tang, Xinbin Liang, Xingxing Chu, Zongtan Zhou   +6 more
doaj   +1 more source

Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model

, 2010
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR).
Kannan, Balakrishnan, Lasscock, Ben, Mellen, Chris, Peters, Gareth W.   +3 more
core   +1 more source

Optimal execution strategy with an uncertain volume target [PDF]

, 2020
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty.
Hauser, Raphael, Vaes, Julien
core   +3 more sources

A hydropower plant scheduling model considering the stochastic correlation between runoff and electricity prices

Zhejiang dianli
Evaluating and addressing the risks posed by runoff and electricity prices in hydropower plants involved in medium-to long-term scheduling is a pressing issue.
WU Ying, WANG Juefei, LI Junjie, WANG Kun, SHEN Yan, WU Yingjun   +5 more
doaj   +1 more source

Dört Büyük Kriptoparanın Piyasa Riskinde Covid-19 Pandemi Etkisi

Ekonomi, Politika & Finans Araştırmaları Dergisi, 2020
Yüksek volatiliteli oldukları bilinen kripto paraları borsalarda yatırım amaçlı kullananlar için piyasa riskinin ölçülmesi, özellikle Covid-19 pandemi haberlerinin piyasalarda duyulmasıyla birlikte, daha fazla önem kazanmıştır.
Neslihan Fidan
doaj   +1 more source

Asset Allocation under the Basel Accord Risk Measures [PDF]

, 2013
Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank's trading book under the Basel 2.5 Accord more than ...
Bai, Xiaodi, Liu, Xin, Peng, Xianhua, Sun, Xiaoling, Wen, Zaiwen   +4 more
core   +1 more source

Doubly Robust Mean-CVaR Portfolio

, 2023
In this study, we address the challenge of portfolio optimization, a critical aspect of managing investment risks and maximizing returns. The mean-CVaR portfolio is considered a promising method due to today's unstable financial market crises like the COVID-19 pandemic.
Nakagawa, Kei, Abe, Masaya, Kuroki, Seiichi   +2 more
openaire   +2 more sources

Effectiveness of the CVaR method in risk management in an integrated energy system

Energy Reports, 2020
Integrated energy systems can effectively improve the efficiency of energy utilization and promote sustainable development of energy, while meeting the diversified energy demands.
Yu Fu, Qie Sun, Ronald Wennersten
doaj   +1 more source

Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

, 2010
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are ...
,, Godsill, S, Kannan, B, Lasscock, B, Melleny, C, Peters, GW   +5 more
core   +1 more source