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Search: subject_exact:"CVaR (Conditional value at risk)"
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ARCH model
Theorie
Risikomaß
28
Risk measure
28
Theory
20
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11
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11
Risiko
9
Risk
9
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8
Messung
8
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Conditional value-at-risk
7
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Shapiro, Alexander
3
Küçükyavuz, Simge
2
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Bhat, Sanjay P.
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Chen, Xi
1
Chen, Zhi
1
Eling, Martin
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Hong, L. Jeff
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Meraklı, Merve
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Prashanth L. A.
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Operations research letters
Insurance / Mathematics & economics
176
Journal of banking & finance
94
European journal of operational research : EJOR
88
Risks : open access journal
71
Journal of risk
59
Finance research letters
52
Economic modelling
50
Journal of empirical finance
45
International journal of forecasting
43
Energy economics
40
Quantitative finance
39
International review of financial analysis
36
The journal of risk model validation
36
Discussion paper / Tinbergen Institute
35
Journal of risk and financial management : JRFM
35
The North American journal of economics and finance : a journal of financial economics studies
33
Applied economics
32
International journal of theoretical and applied finance
27
Journal of forecasting
27
The European journal of finance
27
Scandinavian actuarial journal
26
Finance and stochastics
25
Journal of econometrics
25
Research paper series / Swiss Finance Institute
25
Computational economics
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SFB 649 discussion paper
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Working papers
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Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Journal of economic dynamics & control
21
Mathematics and financial economics
21
The journal of credit risk : published quarterly by Incisive Media
21
Astin bulletin : the journal of the International Actuarial Association
19
Journal of financial econometrics
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Mathematics of operations research
19
Operations research
19
The journal of operational risk
19
Applied economics letters
18
International review of economics & finance : IREF
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ECONIS (ZBW)
22
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1
On approximations of data-driven chance constrained programs over Wasserstein balls
Chen, Zhi
;
Kuhn, Daniel
;
Wiesemann, Wolfram
- In:
Operations research letters
51
(
2023
)
3
,
pp. 226-233
Persistent link: https://www.econbiz.de/10014374834
Saved in:
2
Almost exact risk budgeting with return forecasts for portfolio allocation
Bhardwaj, Avinash
;
Hanawal, Manjesh K.
;
Parthasarathy, …
- In:
Operations research letters
51
(
2023
)
2
,
pp. 171-175
Persistent link: https://www.econbiz.de/10014311844
Saved in:
3
Star-Shaped deviations
Righi, Marcelo Brutti
;
Moresco, Marlon Ruoso
- In:
Operations research letters
50
(
2022
)
5
,
pp. 548-554
Persistent link: https://www.econbiz.de/10013449444
Saved in:
4
An exact method for constrained maximization of the conditional value-at-risk of a class of stochastic submodular functions
Wu, Hao-Hsiang
;
Küçükyavuz, Simge
- In:
Operations research letters
48
(
2020
)
3
,
pp. 356-361
Persistent link: https://www.econbiz.de/10012254099
Saved in:
5
Risk quantification and validation for Bitcoin
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Operations research letters
48
(
2020
)
4
,
pp. 534-541
Persistent link: https://www.econbiz.de/10012294824
Saved in:
6
Robust assortment optimization using worst-case CVaR under the multinomial logit model
Li, Xiaolong
;
Ke, Jiannan
- In:
Operations research letters
47
(
2019
)
5
,
pp. 452-457
Persistent link: https://www.econbiz.de/10012110613
Saved in:
7
Concentration bounds for empirical conditional value-at-risk : the unbounded case
Kolla, Ravi Kumar
;
Prashanth L. A.
;
Bhat, Sanjay P.
; …
- In:
Operations research letters
47
(
2019
)
1
,
pp. 16-20
Persistent link: https://www.econbiz.de/10011991314
Saved in:
8
A closed-form solution of the Black-Litterman model with conditional value at risk
Pang, Tao
;
Karan, Cagatay
- In:
Operations research letters
46
(
2018
)
1
,
pp. 103-108
Persistent link: https://www.econbiz.de/10011807965
Saved in:
9
Vector-valued multivariate conditional value-at-risk
Meraklı, Merve
;
Küçükyavuz, Simge
- In:
Operations research letters
46
(
2018
)
3
,
pp. 300-305
Persistent link: https://www.econbiz.de/10011873363
Saved in:
10
Computing the probability of union in the image-dimensional Euclidean space for application of the multivariate quantile : image-level efficient points
Lee, Jinwook
- In:
Operations research letters
45
(
2017
)
3
,
pp. 242-247
Persistent link: https://www.econbiz.de/10011719314
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