Multivariate value at risk and related topics

DOI10.1007/s10479-010-0790-2zbMath1279.91098OpenAlexW1971212388MaRDI QIDQ1931628

Prékopa, András

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-010-0790-2

Mathematics Subject Classification ID

Related Items (20)

Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints ⋮ A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning ⋮ Portfolio optimization with a copula-based extension of conditional value-at-risk ⋮ Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization ⋮ The location of a minimum variance squared distance functional ⋮ A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Risk tomography ⋮ Robust market equilibria under uncertain cost ⋮ On multivariate extensions of value-at-risk ⋮ Vector-valued multivariate conditional value-at-risk ⋮ Copula-based estimation of value at risk for the portfolio problem ⋮ Estimation of extreme quantiles conditioning on multivariate critical layers ⋮ Properties and calculation of multivariate risk measures: MVaR and MCVaR ⋮ Computing the probability of union in the $n$-dimensional Euclidean space for application of the multivariate quantile: $p$-level efficient points ⋮ Single Commodity Stochastic Network Design Under Probabilistic Constraint with Discrete Random Variables ⋮ Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk ⋮ On multivariate extensions of conditional-tail-expectation ⋮ Strictly log-concave probability distributions in discrete response models ⋮ On multivariate extensions of the conditional value-at-risk measure ⋮ Decision-making from a risk assessment perspective for corporate mergers and acquisitions

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