Search results for "CVaR"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
154	Manying Bai, Lujie Sun	Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization.	ESCAPE	2007	DBLP DOI BibTeX RDF	CVaR, Portfolio Optimization, Copula, GARCH
134	Min Jiang, Qiying Hu, Zhiqing Meng	A Method on Solving Multiobjective Conditional Value-at-Risk.	International Conference on Computational Science	2004	DBLP DOI BibTeX RDF	CVaR, Pareto efficient solutions, Loss functions, Credit risk
125	Sen Qin	Log-optimal portfolio models with risk control of VaR and CVaR using genetic algorithms.	GEC Summit	2009	DBLP DOI BibTeX RDF	log-optimal portfolio model, genetic algorithm, value-at-risk, conditional value-at-risk, risk control
113	Min Jiang, Zhiqing Meng, Qiying Hu	A Neural Network Model on Solving Multiobjective Conditional Value-at-Risk.	ISNN (2)	2004	DBLP DOI BibTeX RDF	CVaR, Pareto efficient solutions, Loss functions, Credit risk
83	Kapil Agrawal	Building Efficient Frontier by CVaR minimization for Non-normal Asset Returns Using Copula Theory.	CSE	2008	DBLP DOI BibTeX RDF	Multivariate distribution, Multi-objective Evolutionary Algorithm, Portfolio Optimization, NSGA-II, Copula, Value-at-Risk, Conditional Value-at-Risk, Extreme Value Theory, conditional expectation
70	Jana Cerbáková	Worst-case VaR and CVaR.	OR	2005	DBLP DOI BibTeX RDF	moment problem, worst-case CVaR, worst-case VaR, exchange rate
62	Virgilijus Sakalauskas, Dalia Kriksciuniene	Short-Term Investment Risk Measurement Using VaR and CVaR.	International Conference on Computational Science (4)	2006	DBLP DOI BibTeX RDF
51	Nina Cvar, Jure Trilar, Andrej Kos, Mojca Volk, Emilija Stojmenova Duh	The Use of IoT Technology in Smart Cities and Smart Villages: Similarities, Differences, and Future Prospects.	Sensors	2020	DBLP DOI BibTeX RDF
42	Renata Mansini, Wlodzimierz Ogryczak, Maria Grazia Speranza	Conditional value at risk and related linear programming models for portfolio optimization.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Mean-risk models, Gini’s mean difference, Linear programming, Portfolio optimization, Conditional Value at Risk, Stochastic dominance
41	Marina Resta, Stefano Santini	Robust Hedging of Electricity Retail Portfolios with CVaR Constraints.	MCO	2008	DBLP DOI BibTeX RDF	Supply Side, Energy Management, Robust Optimization, Conditional Value at Risk
41	Rongjun Li, Xianying Chang	A Modified Genetic Algorithm with Multiple Subpopulations and Dynamic Parameters Applied in CVaR Model.	CIMCA/IAWTIC	2006	DBLP DOI BibTeX RDF
40	Kei Nakagawa, Shuhei Noma, Masaya Abe	RM-CVaR: Regularized Multiple β-CVaR Portfolio. (Special Track on AI in FinTech)	IJCAI	2020	DBLP DOI BibTeX RDF
21	Adam Krzemienowski	Risk preference modeling with conditional average: an application to portfolio optimization.	Ann. Oper. Res.	2009	DBLP DOI BibTeX RDF	Quantile risk measures, Portfolio optimization, Preference modeling, Experimental analysis, Stochastic dominance
21	Gang Lu, Fushuan Wen, Chi Yung Chung 0001, Kit Po Wong	Conditional Value-at-Risk based mid-term generation operation planning in electricity market environment.	IEEE Congress on Evolutionary Computation	2007	DBLP DOI BibTeX RDF
21	Arturo Leccadito, Sergio Ortobelli Lozza, Emilio Russo, Gaetano Iaquinta	Financial Risk Modeling with Markov Chains.	IDEAL	2006	DBLP DOI BibTeX RDF
21	Grazyna Trzpiot, Alicja Ganczarek	Value at Risk Using the Principal Components Analysis on the Polish Power Exchange.	GfKl	2005	DBLP DOI BibTeX RDF
21	John M. Mulvey, Hafize G. Erkan	Simulation for risk management: risk management of a P/C insurance company scenario generation, simulation and optimization.	WSC	2003	DBLP DOI BibTeX RDF
20	Giacomo Morelli	Correction to: Responsible investing and portfolio selection: a shapley - CVaR approach.	Ann. Oper. Res.	2024	DBLP DOI BibTeX RDF
20	Zhen-Yu Chen 0001	Data-driven risk-averse newsvendor problems: developing the CVaR criteria and support vector machines.	Int. J. Prod. Res.	2024	DBLP DOI BibTeX RDF
20	José Pablo Arias-Nicolás, María Isabel Parra, Mario Martínez Pizarro, Eva L. Sanjuán	Bayesian Sensitivity Analysis for VaR and CVaR Employing Distorted Band Priors.	Axioms	2024	DBLP DOI BibTeX RDF
20	Jing Zhang 0024, Hong Zhong 0001, Jie Cui 0004, Lu Wei 0003, Lu Liu 0001	CVAR: Distributed and Extensible Cross-Region Vehicle Authentication With Reputation for VANETs.	IEEE Trans. Intell. Transp. Syst.	2024	DBLP DOI BibTeX RDF
20	Xuru Yang, Yunze Hu, Han Gao, Kang Ding, Zhaoyang Li, Pingping Zhu, Ying Sun, Chang Liu	Risk-Aware Non-Myopic Motion Planner for Large-Scale Robotic Swarm Using CVaR Constraints.	CoRR	2024	DBLP DOI BibTeX RDF
20	Yudong Luo, Yangchen Pan, Han Wang, Philip H. S. Torr, Pascal Poupart	A Simple Mixture Policy Parameterization for Improving Sample Efficiency of CVaR Optimization.	CoRR	2024	DBLP DOI BibTeX RDF
20	Abdelouahed Hamdi, Tahereh Khodamoradi, Maziar Salahi	A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem.	Discret. Math. Algorithms Appl.	2024	DBLP DOI BibTeX RDF
20	Akshay Uttarkar, Vidya Niranjan	A comparative insight into peptide folding with quantum CVaR-VQE algorithm, MD simulations and structural alphabet analysis.	Quantum Inf. Process.	2024	DBLP DOI BibTeX RDF
20	Xindi Wang, Zeshui Xu, Yong Qin	A CVaR optimization method for priority of hesitant fuzzy preference relation with chance constraint.	J. Intell. Fuzzy Syst.	2023	DBLP DOI BibTeX RDF
20	Elham Taghizadeh 0002, Saravanan Venkatachalam	Two-stage risk-averse stochastic programming approach for multi-item single source ordering problem: CVaR minimisation with transportation cost.	Int. J. Prod. Res.	2023	DBLP DOI BibTeX RDF
20	Maria Cristina Arcuri, Gino Gandolfi, Fabrizio Laurini	Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints.	Central Eur. J. Oper. Res.	2023	DBLP DOI BibTeX RDF
20	Chi Seng Pun, Tianyu Wang, Zhenzhen Yan	Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set.	Manuf. Serv. Oper. Manag.	2023	DBLP DOI BibTeX RDF
20	Alessandro Staino, Emilio Russo, Massimo Costabile, Arturo Leccadito	Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint.	Comput. Manag. Sci.	2023	DBLP DOI BibTeX RDF
20	Li Xia, Zhihui Yu, Peter W. Glynn	On the Maximization of Long-Run Reward CVaR for Markov Decision Processes.	CoRR	2023	DBLP DOI BibTeX RDF
20	Sanjay Bhat, Prashanth L. A., Gugan Thoppe	VaR\ and CVaR Estimation in a Markov Cost Process: Lower and Upper Bounds.	CoRR	2023	DBLP DOI BibTeX RDF
20	Si Yi Meng, Robert M. Gower	A Model-Based Method for Minimizing CVaR and Beyond.	CoRR	2023	DBLP DOI BibTeX RDF
20	Hong Zhu, Runpeng Yu 0001, Xing Tang, Yifei Wang 0001, Yuan Fang, Yisen Wang 0001	Robust Long-Tailed Learning via Label-Aware Bounded CVaR.	CoRR	2023	DBLP DOI BibTeX RDF
20	Willy Arthur Silva Reis, Denis Benevolo Pais, Valdinei Freire, Karina Valdivia Delgado	Forward-PECVaR Algorithm: Exact Evaluation for CVaR SSPs.	CoRR	2023	DBLP DOI BibTeX RDF
20	Kaiwen Wang, Nathan Kallus, Wen Sun 0002	Near-Minimax-Optimal Risk-Sensitive Reinforcement Learning with CVaR.	CoRR	2023	DBLP DOI BibTeX RDF
20		Provably Efficient Iterated CVaR Reinforcement Learning with Function Approximation.	CoRR	2023	DBLP DOI BibTeX RDF
20	Masako Kishida	Risk-Aware Control of Discrete-Time Stochastic Systems: Integrating Kalman Filter and Worst-case CVaR in Control Barrier Functions.	CoRR	2023	DBLP DOI BibTeX RDF
20	Yulai Zhao 0002, Wenhao Zhan, Xiaoyan Hu, Ho-fung Leung, Farzan Farnia, Wen Sun 0002, Jason D. Lee	Provably Efficient CVaR RL in Low-rank MDPs.	CoRR	2023	DBLP DOI BibTeX RDF
20	Masako Kishida	A Risk-Aware Control: Integrating Worst-Case CVaR with Control Barrier Function.	CoRR	2023	DBLP DOI BibTeX RDF
20	Sleiman Safaoui, Tyler H. Summers	Distributionally Robust CVaR-Based Safety Filtering for Motion Planning in Uncertain Environments.	CoRR	2023	DBLP DOI BibTeX RDF
20	Kefan Xie, Shufan Zhu, Ping Gui, Yun Chen	Coordinating an emergency medical material supply chain with CVaR under the pandemic considering corporate social responsibility.	Comput. Ind. Eng.	2023	DBLP DOI BibTeX RDF
20	Arash Bahari Kordabad, Sebastien Gros	Continuous-time Chance-constrained Stochastic Model Predictive Control using Multiple Shooting and CVaR.	ECC	2023	DBLP BibTeX RDF
20	Madyan Alsenwi, Eva Lagunas, Hayder Al-Hraishawi, Symeon Chatzinotas	CVaR-based Robust Beamforming Framework for Massive MIMO LEO Satellite Communications.	GLOBECOM	2023	DBLP DOI BibTeX RDF
20	Jia Zhao, Xinyu Rao, JiQiang Liu, Yue Guo, BoKai Yang	CVAR-FL IoV Intrusion Detection Framework.	ISPEC	2023	DBLP DOI BibTeX RDF
20	Yihan Du, Siwei Wang 0002, Longbo Huang	Provably Efficient Risk-Sensitive Reinforcement Learning: Iterated CVaR and Worst Path.	ICLR	2023	DBLP BibTeX RDF
20	Si Yi Meng, Robert M. Gower	A Model-Based Method for Minimizing CVaR and Beyond.	ICML	2023	DBLP BibTeX RDF
20	Kaiwen Wang, Nathan Kallus, Wen Sun 0002	Near-Minimax-Optimal Risk-Sensitive Reinforcement Learning with CVaR.	ICML	2023	DBLP BibTeX RDF
20	Willy Arthur Silva Reis, Denis Benevolo Pais, Valdinei Freire, Karina Valdivia Delgado	Forward-PECVaR Algorithm: Exact Evaluation for CVaR SSPs.	AAMAS	2023	DBLP BibTeX RDF
20	Margaret P. Chapman, Laurent Lessard	Toward a Scalable Upper Bound for a CVaR-LQ Problem.	IEEE Control. Syst. Lett.	2022	DBLP DOI BibTeX RDF
20	Mohamadreza Ahmadi, Xiaobin Xiong, Aaron D. Ames	Risk-Averse Control via CVaR Barrier Functions: Application to Bipedal Robot Locomotion.	IEEE Control. Syst. Lett.	2022	DBLP DOI BibTeX RDF
20	Taras Bodnar, Mathias Lindholm, Vilhelm Niklasson, Erik Thorsén	Bayesian portfolio selection using VaR and CVaR.	Appl. Math. Comput.	2022	DBLP DOI BibTeX RDF
20	Huiting Jing, Yang Liu 0298, Jinghua Zhao	Asymmetric Laplace Distribution Models for Financial Data: VaR and CVaR.	Symmetry	2022	DBLP DOI BibTeX RDF
20	Rui Ding, Eugene A. Feinberg	CVaR Optimization for MDPs: Existence and Computation of Optimal Policies.	SIGMETRICS Perform. Evaluation Rev.	2022	DBLP DOI BibTeX RDF
20	Stefanny Ramirez, Dario Bauso	Dynamic coordinated maintenance of wind-farms with risk-averse agents under CVaR criterion.	Autom.	2022	DBLP DOI BibTeX RDF
20	Sajjad Fattaheian-Dehkordi, Mehdi Tavakkoli, Ali Abbaspour, Hesam Mazaheri, Mahmud Fotuhi-Firuzabad, Matti Lehtonen	A Transactive-Based Control Scheme for Minimizing Real-Time Energy Imbalance in a Multiagent Microgrid: A CVaR-Based Model.	IEEE Syst. J.	2022	DBLP DOI BibTeX RDF
20	Wei Liu, Li Yang, Bo Yu 0003	Kernel density estimation based distributionally robust mean-CVaR portfolio optimization.	J. Glob. Optim.	2022	DBLP DOI BibTeX RDF
20	Li Xia, Peter W. Glynn	Risk-Sensitive Markov Decision Processes with Long-Run CVaR Criterion.	CoRR	2022	DBLP DOI BibTeX RDF
20	Yihan Du, Siwei Wang 0002, Longbo Huang	Risk-Sensitive Reinforcement Learning: Iterated CVaR and the Worst Path.	CoRR	2022	DBLP DOI BibTeX RDF
20	Yanhai Li, Jinwen Ou	Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion.	Eur. J. Oper. Res.	2022	DBLP DOI BibTeX RDF
20	Fei Luan, Weiguo Zhang, Yongjun Liu	Robust international portfolio optimization with worst-case mean-CVaR.	Eur. J. Oper. Res.	2022	DBLP DOI BibTeX RDF
20	Stefano Benati, Eduardo Conde	A relative robust approach on expected returns with bounded CVaR for portfolio selection.	Eur. J. Oper. Res.	2022	DBLP DOI BibTeX RDF
20	Zheng Wu, Yan Qiao, Shuai Huang, Hsien Chen Liu	CVaR Prediction Model of the Investment Portfolio Based on the Convolutional Neural Network Facilitates the Risk Management of the Financial Market.	J. Glob. Inf. Manag.	2022	DBLP DOI BibTeX RDF
20	Debabrata Das, Priyanka Verma, Ajinkya N. Tanksale	Designing a closed-loop supply chain for reusable packaging materials: A risk-averse two-stage stochastic programming model using CVaR.	Comput. Ind. Eng.	2022	DBLP DOI BibTeX RDF
20	Chuanning Wei, Michael Fauß, Margaret P. Chapman	CVaR-based Safety Analysis in the Infinite Time Horizon Setting.	ACC	2022	DBLP DOI BibTeX RDF
20	Chenmien Tan, Paul Weng	CVaR-Regret Bounds for Multi-armed Bandits.	ACML	2022	DBLP BibTeX RDF
20	Juan Li 0003, Bin Xin 0002, Panos M. Pardalos, Jie Chen 0003	Solving bi-objective uncertain stochastic resource allocation problems by the CVaR-based risk measure and decomposition-based multi-objective evolutionary algorithms.	Ann. Oper. Res.	2021	DBLP DOI BibTeX RDF
20	Josue Campos do Prado, Ugonna Chikezie	A Decision Model for an Electricity Retailer With Energy Storage and Virtual Bidding Under Daily and Hourly CVaR Assessment.	IEEE Access	2021	DBLP DOI BibTeX RDF
20	Kai Zhang, Yuichi Takano, Yuzhu Wang, Akiko Yoshise	Optimizing the Strategic Decisions for One-Way Station-Based Carsharing Systems: A Mean-CVaR Approach.	IEEE Access	2021	DBLP DOI BibTeX RDF
20	Elham Mokaramian, Hossein Shayeghi, Farzad Sedaghati, Amin Safari, Hassan Haes Alhelou	A CVaR-Robust-Based Multi-Objective Optimization Model for Energy Hub Considering Uncertainty and E-Fuel Energy Storage in Energy and Reserve Markets.	IEEE Access	2021	DBLP DOI BibTeX RDF
20	S. Davod Hosseini, Manish Verma	Equitable routing of rail hazardous materials shipments using CVaR methodology.	Comput. Oper. Res.	2021	DBLP DOI BibTeX RDF
20	Kei Nakagawa, Katsuya Ito	Taming Tail Risk: Regularized Multiple β Worst-Case CVaR Portfolio.	Symmetry	2021	DBLP DOI BibTeX RDF
20	Giorgio Arici, Marco C. Campi, Algo Carè, Marco Dalai, Federico A. Ramponi	A Theory of the Risk for Empirical CVaR with Application to Portfolio Selection.	J. Syst. Sci. Complex.	2021	DBLP DOI BibTeX RDF
20	Alessio Trivella, Selvaprabu Nadarajah	Socially responsible merchant operations: Comparison of shutdown-averse CVaR and anticipated regret policies.	Oper. Res. Lett.	2021	DBLP DOI BibTeX RDF
20	Najakorn Khajonchotpanya, Yilin Xue, Napat Rujeerapaiboon	A revised approach for risk-averse multi-armed bandits under CVaR criterion.	Oper. Res. Lett.	2021	DBLP DOI BibTeX RDF
20	Ken Kobayashi, Yuichi Takano, Kazuhide Nakata	Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization.	J. Glob. Optim.	2021	DBLP DOI BibTeX RDF
20	Chuanning Wei, Michael Fauss, Margaret P. Chapman	CVaR-based Safety Analysis for the Infinite Time Setting.	CoRR	2021	DBLP BibTeX RDF
20	Lei You 0001, Hui Ma 0007, Tapan Kumar Saha, Gang Liu	Gaussian Mixture Model Based Distributionally Robust Optimal Power Flow With CVaR Constraints.	CoRR	2021	DBLP BibTeX RDF
20	Margaret P. Chapman, Laurent Lessard	Toward a Scalable Upper Bound for a CVaR-LQ Problem.	CoRR	2021	DBLP BibTeX RDF
20	Runtian Zhai, Chen Dan 0001, Arun Sai Suggala, J. Zico Kolter, Pradeep Ravikumar	Boosted CVaR Classification.	CoRR	2021	DBLP BibTeX RDF
20	Arnav Choudhry, Brady G. Moon, Jay Patrikar, Constantine Samaras, Sebastian A. Scherer	CVaR-based Flight Energy Risk Assessment for Multirotor UAVs using a Deep Energy Model.	CoRR	2021	DBLP BibTeX RDF
20	Anand Deo, Karthyek Murthy	Efficient Black-Box Importance Sampling for VaR and CVaR Estimation.	CoRR	2021	DBLP BibTeX RDF
20	Jia-Tong Li, Jie Shen, Na Xu	An Infeasible Incremental Bundle Method for Nonsmooth Optimization Problem Based on CVaR Portfolio.	Complex.	2021	DBLP DOI BibTeX RDF
20	Arnav Choudhry, Brady G. Moon, Jay Patrikar, Constantine Samaras, Sebastian A. Scherer	CVaR-based Flight Energy Risk Assessment for Multirotor UAVs using a Deep Energy Model.	ICRA	2021	DBLP DOI BibTeX RDF
20	Dylan Troop, Fréderic Godin, Jia Yuan Yu	Bias-corrected peaks-over-threshold estimation of the CVaR.	UAI	2021	DBLP BibTeX RDF
20	Anand Deo, Karthyek Murthy	Efficient Black-Box Importance Sampling for VaR and CVaR Estimation.	WSC	2021	DBLP DOI BibTeX RDF
20	Runtian Zhai, Chen Dan 0001, Arun Sai Suggala, J. Zico Kolter, Pradeep Ravikumar	Boosted CVaR Classification.	NeurIPS	2021	DBLP BibTeX RDF
20	Dorian Baudry, Romain Gautron, Emilie Kaufmann, Odalric Maillard	Optimal Thompson Sampling strategies for support-aware CVaR bandits.	ICML	2021	DBLP BibTeX RDF
20	Qianqiao Liang, Mengying Zhu, Xiaolin Zheng, Yan Wang 0002	An Adaptive News-Driven Method for CVaR-sensitive Online Portfolio Selection in Non-Stationary Financial Markets.	IJCAI	2021	DBLP DOI BibTeX RDF
20	Luis Alberto Díaz-Trujillo, Luis Fabián Fuentes-Cortés, Fabricio Nápoles-Rivera	Economic and environmental optimization for a biogas supply Chain: A CVaR approach applied to uncertainty of biomass and biogas demand.	Comput. Chem. Eng.	2020	DBLP DOI BibTeX RDF
20	Matt Roveto, Robert Mieth, Yury Dvorkin	Co-Optimization of VaR and CVaR for Data-Driven Stochastic Demand Response Auction.	IEEE Control. Syst. Lett.	2020	DBLP DOI BibTeX RDF
20	Gianfranco Guastaroba, Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza	Enhanced index tracking with CVaR-based ratio measures.	Ann. Oper. Res.	2020	DBLP DOI BibTeX RDF
20	Yuxuan Zhao, Shengyuan Liu, Zhenzhi Lin, Fushuan Wen, Li Yang, Qin Wang	A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets.	IEEE Access	2020	DBLP DOI BibTeX RDF
20	Mohamadreza Ahmadi, Xiaobin Xiong, Aaron D. Ames	Risk-Sensitive Path Planning via CVaR Barrier Functions: Application to Bipedal Locomotion.	CoRR	2020	DBLP BibTeX RDF
20	Matthew J. Holland, El Mehdi Haress	Learning with CVaR-based feedback under potentially heavy tails.	CoRR	2020	DBLP BibTeX RDF
20	Ziyi Wang 0001, Oswin So, Keuntaek Lee, Camilo A. Duarte, Evangelos A. Theodorou	Adaptive CVaR Optimization for Dynamical Systems with Path Space Stochastic Search.	CoRR	2020	DBLP BibTeX RDF
20	Matt Roveto, Robert Mieth, Yury Dvorkin	Co-Control of VaR and CVaR forData-Driven Stochastic Demand Response Auction.	CoRR	2020	DBLP BibTeX RDF
20	Dorian Baudry, Romain Gautron, Emilie Kaufmann, Odalric-Ambrym Maillard	Thompson Sampling for CVaR Bandits.	CoRR	2020	DBLP BibTeX RDF
20	Joel Q. L. Chang, Qiuyu Zhu, Vincent Y. F. Tan	Risk-Constrained Thompson Sampling for CVaR Bandits.	CoRR	2020	DBLP BibTeX RDF
20	Edward J. Anderson, Huifu Xu, Dali Zhang	Varying confidence levels for CVaR risk measures and minimax limits.	Math. Program.	2020	DBLP DOI BibTeX RDF