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Target-based distributionally robust optimization for single machine scheduling

Pei, Zhi; Lu, Haimin; Jin, Qingwei; Zhang, Lianmin - In: European journal of operational research : EJOR 299 (2022) 2, pp. 420-431

Persistent link: https://www.econbiz.de/10013207112

BP-CVaR : a novel model of estimating CVaR with back propagation algorithm

Wang, Gang-Jin; Zhu, Chun-Long - In: Economics letters 209 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10013209345

Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2022

Persistent link: https://www.econbiz.de/10013279729

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 …

Persistent link: https://www.econbiz.de/10012887928

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

Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors

Broda, Simon A. - 2013

Persistent link: https://www.econbiz.de/10010191435

Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

Kaucic, Massimiliano; Moradi, Mojtaba; Mirzazadeh, Mohmmad - In: Financial innovation : FIN 5 (2019) 26, pp. 1-28

In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional value-at-risk, and a combination of both risk measures. Moreover, we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto...

Persistent link: https://www.econbiz.de/10012266717

Electricity prices forecast analysis using the extreme value theory

Simões, Mário Domingues de Paula; Klotzle, Marcelo Cabus - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011589159

Optimal insurance contract under VaR and CVaR constraints

Wang, Ching-Ping; Huang, Hung-Hsi - In: The North American journal of economics and finance : a … 37 (2016), pp. 110-127

Persistent link: https://www.econbiz.de/10011672902

Panic-aware portfolio optimization

Zorn, Josef - In: The journal of asset management 20 (2019) 2, pp. 103-110

Persistent link: https://www.econbiz.de/10012059765