Credit risk optimization with conditional Value-at-Risk criterion
From MaRDI portal
Recommendations
Cited in
(60)- Risk preference modeling with conditional average: An application to portfolio optimization
- Optimization strategies in credit portfolio management
- DC programming and DCA for globally solving the value-at-risk
- Models and simulations for portfolio rebalancing
- A fair division approach to humanitarian logistics inspired by conditional value-at-risk
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- A mean-risk mixed integer nonlinear program for transportation network protection
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Value-at-risk optimization using the difference of convex algorithm
- Analysis of futures and spot electricity markets under risk aversion
- Adjusted Rényi entropic value-at-risk
- Modelling tail credit risk using transition matrices
- A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
- NORTA for portfolio credit risk
- Distributionally robust return-risk optimization models and their applications
- Measuring the coupled risks: A copula-based CVaR model
- Dynamic CVAR with multi-period risk problems
- Inseparable robust reward-risk optimization models with distribution uncertainty
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Credit risk optimization using factor models
- Conditional value at risk and related linear programming models for portfolio optimization
- Twenty years of linear programming based portfolio optimization
- Measuring risk for income streams
- Multi-market portfolio optimization with conditional value at risk
- An average-value-at-risk criterion for Markov decision processes with unbounded costs
- Empirical tail risk management with model-based annealing random search
- Portfolio optimization with a copula-based extension of conditional value-at-risk
- Large-Scale Loan Portfolio Selection
- Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
- 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
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement
- Conditional value-at-risk optimization for credit risk using asset value models.
- Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
- On solving the dual for portfolio selection by optimizing conditional value at risk
- R\&D pipeline management: task interdependencies and risk management
- Open-pit mining with uncertainty: a conditional value-at-risk approach
- Hedging market and credit risk in corporate bond portfolios
- Tracking bond indices in an integrated market and credit risk environment
- scientific article; zbMATH DE number 1836444 (Why is no real title available?)
- Detecting large risk-averse 2-clubs in graphs with random edge failures
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Portfolio optimization with structured products under return constraint
- scientific article; zbMATH DE number 6263686 (Why is no real title available?)
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- Zero-sum stochastic games with the average-value-at-risk criterion
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Moment-based distributionally robust joint chance constrained optimization for service network design under demand uncertainty
- Responsible investing and portfolio selection: a Shapley-CVaR approach
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- Optimal control of credit risk.
- A four-objective mean-variance-CVaR-ESG model for portfolio selection problem
- A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
- Integrated chance constraints: reduced forms and an algorithm
- Handling CVaR objectives and constraints in two-stage stochastic models
- A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios
- 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
This page was built for publication: Credit risk optimization with conditional Value-at-Risk criterion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5944954)
