A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series

DOI10.1007/S10287-023-00488-6MaRDI QIDQ6149574zbMATH OpenFDO

Authors Carlin C. F. Chu, Simon S. W. Li

Publication date 6 February 2024

Published in Computational Management Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

peaks over thresholdmultiple criteria decision analysisgoal programming modelEVTgeneralized pareto distribution

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• An application of extreme value theory for measuring financial risk
• Extreme Value Theory as a Risk Management Tool
• Generalized Pareto copulas: a key to multivariate extremes
• Goal programming for decision making: An overview of the current state-of-the-art
• Modeling uncertainty in multi-criteria decision analysis
• Multiple criteria decision aiding for finance: an updated bibliographic survey
• Multiple criteria decision making combined with finance: a categorized bibliographic study.
• Multivariate extreme value theory and its usefulness in understanding risk
• Multivariate generalized Pareto distributions
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• Optimum multivariate stratified double sampling design: Chebyshev's goal programming approach
• Quantile estimation for the generalized Pareto distribution with application to finance
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Threshold selection for regional peaks-over-threshold data

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