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Risk management under a prudential policy
Assa, Hirbod - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 2, pp. 217-230
Persistent link: https://www.econbiz.de/10011342170
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Hedging strategies in energy markets : the case of electricity retailers
Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509
Persistent link: https://www.econbiz.de/10011564922
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A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun; Jia, Huameng; Mao, Tiantian - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
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CVaR in portfolio optimization : an essay on the French market
Hafsa, Houda - In: International journal of financial research 6 (2015) 2, pp. 101-111
Persistent link: https://www.econbiz.de/10011405083
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The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi; Dionne, Georges - 2021
Persistent link: https://www.econbiz.de/10012545817
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Quantile-based optimal portfolio selection
Bodnar, Taras; Lindholm, Mathias; Thorsén, Erik; … - In: Computational management science 18 (2021) 3, pp. 299-324
Persistent link: https://www.econbiz.de/10012615134
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Word portfolio optimization in the environment of zero interest rate
Demcenko, Darja - In: Mokslo darbai / Vilniaus Universitetas 100 (2021) 1, pp. 156-174
presented. Furthermore, a risk analysis of created portfolios is evaluated in terms of historical VaR and CVaR applying … confidence interval 95%. The main results of this paper reveal that the portfolio, which is optimized to minimize VaR produces …
Persistent link: https://www.econbiz.de/10012887928
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Is being "robust" beneficial? : a perspective from the Indian market
Girach, Mohammed Bilal; Oberoi, Shashank; Chakrabarty, … - In: Asia Pacific financial markets 28 (2021) 4, pp. 469-497
Persistent link: https://www.econbiz.de/10012697495
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Mean-variance, mean-VaR, and mean-CVaR models for portfolio selection with background risk
Guo, Xu; Chan, Raymond H.; Wong, Wing Keung; Zhu, Lixing - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 2, pp. 73-98
Persistent link: https://www.econbiz.de/10012060286
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CVaR regression based on the relation between CVaR and mixed-quantile quadrangles
Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …
Persistent link: https://www.econbiz.de/10012025262