A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
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Publication:6149574
DOI10.1007/S10287-023-00488-6MaRDI QIDQ6149574
Carlin C. F. Chu, Simon S. W. Li
Publication date: 6 February 2024
Published in: Computational Management Science (Search for Journal in Brave)
goal programming modelmultiple criteria decision analysispeaks over thresholdEVTgeneralized pareto distribution
Cites Work
- Multiple criteria decision aiding for finance: an updated bibliographic survey
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- Multivariate generalized Pareto distributions
- Multiple criteria decision making combined with finance: a categorized bibliographic study.
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Goal programming for decision making: An overview of the current state-of-the-art
- Modeling uncertainty in multi-criteria decision analysis
- Generalized Pareto copulas: a key to multivariate extremes
- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk
- Optimum multivariate stratified double sampling design: Chebyshev's Goal Programming approach
- Threshold selection for regional peaks-over-threshold data
- Quantile estimation for the generalized pareto distribution with application to finance
- Extreme Value Theory as a Risk Management Tool
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