Search results
From MaRDI portal
- series based on multi entropy fusion 2023-03-17 Paper BP-CVaR: a novel model of estimating CVaR with back propagation algorithm 2021-12-14 Paper Multilayer...10 bytes (18 words) - 01:37, 13 December 2023
- portfolios for CVaR under discrete distributions 2019-02-06 Paper Robust scenario-based value-at-risk optimization 2016-05-19 Paper CVaR proxies for minimizing...10 bytes (18 words) - 05:47, 9 December 2023
- 2020-04-17 Paper Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR 2019-11-21 Paper Explicit Solution...10 bytes (17 words) - 01:34, 11 December 2023
- uncertain exit time: a robust CVaR approach 2010-01-19 Paper Portfolio selection under distributional uncertainty: a relative robust CVaR approach 2009-12-07 Paper...10 bytes (17 words) - 10:54, 9 December 2023
- High Dimensions 2022-09-23 Paper Bayesian portfolio selection using VaR and CVaR 2022-05-23 Paper Goodness-of-fit tests for centralized Wishart processes...10 bytes (16 words) - 19:48, 9 December 2023
- Paper https://portal.mardi4nfdi.de/entity/Q5125143 2020-10-05 Paper CVaR robust mean-CVaR portfolio optimization 2014-11-11 Paper...10 bytes (16 words) - 12:16, 6 October 2023
- Set-Valued Double-Quantitative Rough Sets 2021-12-17 Paper BP-CVaR: a novel model of estimating CVaR with back propagation algorithm 2021-12-14 Paper...10 bytes (17 words) - 20:11, 6 October 2023
- for a class of nonlinear stochastic discrete-time systems 2021-11-05 Paper CVaR measurement and operational risk management in commercial banks according...10 bytes (17 words) - 02:27, 12 December 2023
- risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR 2018-05-30 Paper Hub location under competition 2016-10-07 Paper...10 bytes (18 words) - 02:24, 11 December 2023
- Allowables: CVaR Regression Approach, Part I 2007-09-24 Paper Combining Model and Test Data for Optimal Determination of Percentiles and Allowables: CVaR Regression...10 bytes (16 words) - 10:58, 7 October 2023
- diversification in the sovereign credit swap markets 2018-11-12 Paper Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances...10 bytes (16 words) - 18:16, 13 December 2023
- Type Revisiting generalized almost stochastic dominance 2020-01-20 Paper VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS 2014-06-19 Paper An investigation...10 bytes (18 words) - 02:10, 13 December 2023
- of Publication Type Wrong way risk corrections to CVA in CIR reduced-form models 2023-11-03 Paper CVA in fractional and rough volatility models 2023-04-21...10 bytes (16 words) - 15:11, 10 December 2023
- equations connecting VaR and CVaR 2017-08-01 Paper Good deals and benchmarks in robust portfolio selection 2016-10-07 Paper VaR as the CVaR sensitivity: applications...10 bytes (16 words) - 08:18, 9 December 2023
- and market impact: a simulation-and-regression approach 2019-09-26 Paper CVaR-minimising hedging by a smoothing method 2018-05-08 Paper SWITCHING TO NONAFFINE...10 bytes (16 words) - 07:41, 13 December 2023
- Publication Date of Publication Type \((Q,r)\) model with \(CVaR_\alpha\) of costs minimization 2017-06-15 Paper https://portal.mardi4nfdi.de/entity/Q3067379...10 bytes (18 words) - 05:33, 13 December 2023
- formulations for minimum connectivity network interdiction problems 2018-07-11 Paper CVaR distance between univariate probability distributions and approximation problems...10 bytes (16 words) - 10:28, 6 October 2023
- PROPRIETARY FACTORS EXIST? 2013-08-15 Paper Sensitivity of portfolio VaR and CVaR to portfolio return characteristics 2013-08-07 Paper The Methods of Distances...10 bytes (18 words) - 23:43, 9 December 2023
- Markets 2022-03-02 Paper Long-only equal risk contribution portfolios for CVaR under discrete distributions 2019-02-06 Paper Robust scenario-based value-at-risk...10 bytes (16 words) - 19:44, 6 October 2023
- Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model 2010-07-02 Paper Portfolio selection with uncertain exit time: a robust CVaR approach 2010-01-19...10 bytes (16 words) - 05:32, 7 October 2023
