Credit risk optimization with conditional Value-at-Risk criterion
From MaRDI portal
Publication:5944954
DOI10.1007/S101070000201zbMath0994.91028MaRDI QIDQ5944954
Dan Rosen, Stanislav P. Uryasev, Helmut E. Mausser, Fredrik Andersson
Publication date: 10 October 2002
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Related Items (51)
Portfolio optimization with a copula-based extension of conditional value-at-risk ⋮ A hybrid stock trading system using genetic network programming and mean conditional value-at-risk ⋮ Risk management in portfolio applications of non-convex stochastic programming ⋮ CVaR minimization by the SRA algorithm ⋮ Measuring the coupled risks: A copula-based CVaR model ⋮ A fair division approach to humanitarian logistics inspired by conditional value-at-risk ⋮ Take it to the limit: innovative CVaR applications to extreme credit risk measurement ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time ⋮ Dynamic CVAR with multi-period risk problems ⋮ Inseparable robust reward-risk optimization models with distribution uncertainty ⋮ Integrated chance constraints: reduced forms and an algorithm ⋮ Stochastic optimization problems with CVaR risk measure and their sample average approximation ⋮ Multi-market portfolio optimization with conditional value at risk ⋮ A mean-risk mixed integer nonlinear program for transportation network protection ⋮ Value-at-risk optimization using the difference of convex algorithm ⋮ Zero-sum stochastic games with the average-value-at-risk criterion ⋮ On solving the dual for portfolio selection by optimizing conditional value at risk ⋮ Large-Scale Loan Portfolio Selection ⋮ Open-Pit Mining with Uncertainty: A Conditional Value-at-Risk Approach ⋮ R\&D pipeline management: task interdependencies and risk management ⋮ Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ An average-value-at-risk criterion for Markov decision processes with unbounded costs ⋮ A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem ⋮ Empirical tail risk management with model-based annealing random search ⋮ Hedging Market and Credit Risk in Corporate Bond Portfolios ⋮ Handling CVaR objectives and constraints in two-stage stochastic models ⋮ Modelling tail credit risk using transition matrices ⋮ Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Tracking bond indices in an integrated market and credit risk environment ⋮ Detecting large risk-averse 2-clubs in graphs with random edge failures ⋮ A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios ⋮ Credit risk optimization using factor models ⋮ Conditional value at risk and related linear programming models for portfolio optimization ⋮ On efficient WOWA optimization for decision support under risk ⋮ A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset ⋮ Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization ⋮ Analysis of futures and spot electricity markets under risk aversion ⋮ NORTA for portfolio credit risk ⋮ Twenty years of linear programming based portfolio optimization ⋮ Risk preference modeling with conditional average: An application to portfolio optimization ⋮ A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure ⋮ DC programming and DCA for globally solving the value-at-risk ⋮ Models and simulations for portfolio rebalancing ⋮ Distributionally robust return-risk optimization models and their applications ⋮ Measuring risk for income streams ⋮ Adjusted Rényi entropic value-at-risk ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
This page was built for publication: Credit risk optimization with conditional Value-at-Risk criterion
