Search results for "Conditional-value-at-risk"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
76	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
70	Rüdiger Schultz, Stephan Tiedemann	Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse.	Math. Program.	2006	DBLP DOI BibTeX RDF	Mean-risk models, Mixed-integer optimization, Stochastic programming, Conditional value-at-risk
60	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
53	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
45	Nilay Noyan, Andrzej Ruszczynski	Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints.	Math. Program.	2008	DBLP DOI BibTeX RDF	Disjunctive cuts, Stochastic programming, Valid inequalities, Conditional value at risk, Stochastic dominance
45	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
43	Hai Lan, Barry L. Nelson, Jeremy Staum	A confidence interval for tail conditional expectation via two-level simulation.	WSC	2007	DBLP DOI BibTeX RDF
42	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
39	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
39	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
38	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
34	Soumyadip Ghosh	A rate result for simulation optimization with conditional value-at-risk constraints.	WSC	2008	DBLP DOI BibTeX RDF
31	Pavlo A. Krokhmal, Stan Uryasev, Grigoriy Zrazhevsky	29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds.	Applications of Stochastic Programming	2005	DBLP DOI BibTeX RDF
29	Marc Rigter, Paul Duckworth, Bruno Lacerda, Nick Hawes	Lexicographic Optimisation of Conditional Value at Risk and Expected Value for Risk-Averse Planning in MDPs.	CoRR	2021	DBLP BibTeX RDF
29	Rashed Khanjani Shiraz, Madjid Tavana, Hirofumi Fukuyama	A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk.	Soft Comput.	2020	DBLP DOI BibTeX RDF
29	Adam J. Hepworth, Michael P. Atkinson, Roberto Szechtman	A sequential elimination approach to value-at-risk and conditional value-at-risk selection.	WSC	2017	DBLP DOI BibTeX RDF
29	L. Jeff Hong, Zhaolin Hu, Liwei Zhang	Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo.	INFORMS J. Comput.	2014	DBLP DOI BibTeX RDF
29	L. Jeff Hong, Zhaolin Hu, Guangwu Liu	Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk: A Review.	ACM Trans. Model. Comput. Simul.	2014	DBLP DOI BibTeX RDF
29	So Yeon Chun, Alexander Shapiro 0001, Stan Uryasev	Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics.	Oper. Res.	2012	DBLP DOI BibTeX RDF
29	Rainer Göb	Estimating value at risk and conditional value at risk for count variables.	Qual. Reliab. Eng. Int.	2011	DBLP DOI BibTeX RDF
29	L. Jeff Hong, Guangwu Liu	Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities.	WSC	2011	DBLP DOI BibTeX RDF
29	Lihua Sun, L. Jeff Hong	Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk.	Oper. Res. Lett.	2010	DBLP DOI BibTeX RDF
29	Lihua Sun, L. Jeff Hong	A General Framework of Importance Sampling for Value-at-risk and Conditional Value-at-risk.	WSC	2009	DBLP DOI BibTeX RDF
29	Yuri M. Ermoliev	Two-Stage Stochastic Programming: Quasigradient Method.	Encyclopedia of Optimization	2009	DBLP DOI BibTeX RDF	Two-stage stochastic programming problem, Dynamic two-stage stochastic programming problem, Safety constraints, Anticipation, Stochastic decomposition, Conditional-value-at-risk, Learning and adaptation
29	Vladimir Boginski, Clayton W. Commander, Timofey Turko	Polynomial-time identification of robust network flows under uncertain arc failures.	Optim. Lett.	2009	DBLP DOI BibTeX RDF	Minimum Cost Flow problems, Quantitative risk measures, Linear programming, Network flows, Robust optimization, Conditional Value-at-Risk
29	Jason Cong, John Lee 0002, Lieven Vandenberghe	Robust gate sizing via mean excess delay minimization.	ISPD	2008	DBLP DOI BibTeX RDF	robust gate sizing, process variation, geometric programming, conditional value-at-risk
29	Turan G. Bali, Panayiotis Theodossiou	A conditional-SGT-VaR approach with alternative GARCH models.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	GARCH models, Skewed generalized t distribution, Expected shortfall, Conditional value at risk
29	R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin	Generalized deviations in risk analysis.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	deviation measures, coherent risk measures, Risk management, portfolio optimization, value-at-risk, convex analysis, conditional value-at-risk
26	Grazyna Trzpiot, Alicja Ganczarek	Value at Risk Using the Principal Components Analysis on the Polish Power Exchange.	GfKl	2005	DBLP DOI BibTeX RDF
26	Tahereh Khodamoradi, Maziar Salahi	Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique.	Comput. Stat.	2023	DBLP DOI BibTeX RDF
26	Tahereh Khodamoradi, Maziar Salahi, Ali Reza Najafi	Multi-intervals robust mean-conditional value-at-risk portfolio optimisation with conditional scenario reduction technique.	Int. J. Appl. Decis. Sci.	2023	DBLP DOI BibTeX RDF
24	Liao Wang, David D. Yao	Production Planning with Risk Hedging Under a Conditional Value at Risk Objective.	Oper. Res.	2023	DBLP DOI BibTeX RDF
24	Margaret P. Chapman, Michael Fauß, Kevin M. Smith	On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis.	IEEE Trans. Autom. Control.	2023	DBLP DOI BibTeX RDF
24	Masako Kishida, Masaaki Nagahara	Risk-Aware Maximum Hands-Off Control Using Worst-Case Conditional Value-at-Risk.	IEEE Trans. Autom. Control.	2023	DBLP DOI BibTeX RDF
24	Masako Kishida, Ahmet Cetinkaya	Risk-Aware Linear Quadratic Control Using Conditional Value-at-Risk.	IEEE Trans. Autom. Control.	2023	DBLP DOI BibTeX RDF
24	Kevin M. Smith, Margaret P. Chapman	On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria.	IEEE Trans. Control. Syst. Technol.	2023	DBLP DOI BibTeX RDF
24	Najmesadat Nazemi, Sophie N. Parragh, Walter J. Gutjahr	Bi-objective risk-averse facility location using a subset-based representation of the conditional value-at-risk.	CoRR	2023	DBLP DOI BibTeX RDF
24	Ji Yin, Zhiyuan Zhang 0007, Panagiotis Tsiotras	Risk-Aware Model Predictive Path Integral Control Using Conditional Value-at-Risk.	ICRA	2023	DBLP DOI BibTeX RDF
24	Andre Nuñez, Felix H. Kong, Alberto González-Cantos, Robert Fitch	Risk-Aware Stochastic Ship Routing Using Conditional Value-at-Risk.	IROS	2023	DBLP DOI BibTeX RDF
24	Xuru Yang, Han Gao, Pingping Zhu, Chang Liu	Risk-Aware Motion Planning for Very-Large-Scale Robotics Systems Using Conditional Value-at-Risk.	ICIRA (7)	2023	DBLP DOI BibTeX RDF
24	José Almeida 0002, João P. Soares, Fernando Lezama, Zita A. Vale	Robust Energy Resource Management Incorporating Risk Analysis Using Conditional Value-at-Risk.	IEEE Access	2022	DBLP DOI BibTeX RDF
24	Margaret P. Chapman, Riccardo Bonalli, Kevin M. Smith, Insoon Yang, Marco Pavone 0001, Claire J. Tomlin	Risk-Sensitive Safety Analysis Using Conditional Value-at-Risk.	IEEE Trans. Autom. Control.	2022	DBLP DOI BibTeX RDF
24	Ji Yin, Zhiyuan Zhang 0007, Panagiotis Tsiotras	Risk-Aware Model Predictive Path Integral Control Using Conditional Value-at-Risk.	CoRR	2022	DBLP DOI BibTeX RDF
24	Masako Kishida	Risk-Aware Event- and Self-Triggered Controls by Worst-Case Conditional Value-at-Risk.	CDC	2022	DBLP DOI BibTeX RDF
24	Najmesadat Nazemi, Sophie N. Parragh, Walter J. Gutjahr	Bi-objective Risk-averse Facility Location using a Subset-based Representation of the Conditional Value-at-Risk.	ICORES	2022	DBLP DOI BibTeX RDF
24	Margaret P. Chapman, Riccardo Bonalli, Kevin M. Smith, Insoon Yang, Marco Pavone 0001, Claire J. Tomlin	Risk-sensitive safety analysis using Conditional Value-at-Risk.	CoRR	2021	DBLP BibTeX RDF
24	Kevin M. Smith, Margaret P. Chapman	On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria.	CoRR	2021	DBLP BibTeX RDF
24	Vijaya Dixit, Manoj Kumar Tiwari	Project portfolio selection and scheduling optimization based on risk measure: a conditional value at risk approach.	Ann. Oper. Res.	2020	DBLP DOI BibTeX RDF
24	E. Ruben van Beesten, Ward Romeijnders	Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk.	Math. Program.	2020	DBLP DOI BibTeX RDF
24	Liu Su, Changhyun Kwon	Risk-Averse Network Design with Behavioral Conditional Value-at-Risk for Hazardous Materials Transportation.	Transp. Sci.	2020	DBLP DOI BibTeX RDF
24	Ujjwal Murarka, Vishakha Sinha, Lakshman S. Thakur, Manoj Kumar Tiwari	Multiple criteria risk averse model for multi-product newsvendor problem using conditional value at risk constraints.	Inf. Sci.	2019	DBLP DOI BibTeX RDF
24	Ravi Kumar Kolla, Prashanth L. A., Krishna P. Jagannathan	Risk-aware Multi-armed Bandits Using Conditional Value-at-Risk.	CoRR	2019	DBLP BibTeX RDF
24		Risk-sensitive safety specifications for stochastic systems using Conditional Value-at-Risk.	CoRR	2019	DBLP BibTeX RDF
24	Wen Song, Donghun Kang, Jie Zhang 0002, Hui Xi	Risk-Aware Proactive Scheduling via Conditional Value-at-Risk.	AAAI	2018	DBLP DOI BibTeX RDF
24	Drew P. Kouri, Thomas M. Surowiec	Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk.	SIAM J. Optim.	2016	DBLP DOI BibTeX RDF
24	Parth Shah, Navindran Davendralingam, Daniel A. DeLaurentis	A conditional value-at-risk approach to risk management in system-of-systems architectures.	SoSE	2015	DBLP DOI BibTeX RDF
24	Chung-Chi Hsieh, Yu-Ting Lu	Risk-embedded Bayesian acceptance sampling plans via conditional value-at-risk with Type II censoring.	Comput. Ind. Eng.	2013	DBLP DOI BibTeX RDF
24	Martin Sutter, Michael Schermann, Stefan Hoermann 0003, Helmut Krcmar	Calculating the conditional value at risk in IS projects: towards a single measure of project risk.	ECIS	2011	DBLP BibTeX RDF
24	Hisashi Kashima	Risk-Sensitive Learning via Minimization of Empirical Conditional Value-at-Risk.	IEICE Trans. Inf. Syst.	2007	DBLP DOI BibTeX RDF
24	Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev	Credit risk optimization with Conditional Value-at-Risk criterion.	Math. Program.	2001	DBLP DOI BibTeX RDF
22	Huifu Xu, Dali Zhang	Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications.	Math. Program.	2009	DBLP DOI BibTeX RDF	Mathematics Subject Classification (2000) 90C15, 65K05, 91B28
18	Ashish Cherukuri	Sample average approximation of conditional value-at-risk based variational inequalities.	Optim. Lett.	2024	DBLP DOI BibTeX RDF
18	Chia-Yen Lee, Yen-Wen Chen	Reinforcement Learning With Data Envelopment Analysis and Conditional Value-At-Risk for the Capacity Expansion Problem.	IEEE Trans. Engineering Management	2024	DBLP DOI BibTeX RDF
18	Congzheng Liu, Wenqi Zhu	Newsvendor conditional value-at-risk minimisation: A feature-based approach under adaptive data selection.	Eur. J. Oper. Res.	2024	DBLP DOI BibTeX RDF
18	Zhao-Rong Lai, Cheng Li, Xiaotian Wu, Quanlong Guan, Liangda Fang	Multitrend Conditional Value at Risk for Portfolio Optimization.	IEEE Trans. Neural Networks Learn. Syst.	2024	DBLP DOI BibTeX RDF
18	Andres Mauricio Molina Barreto, Naoyuki Ishimura	Remarks on a copula-based conditional value at risk for the portfolio problem.	Intell. Syst. Account. Finance Manag.	2023	DBLP DOI BibTeX RDF
18	Yajaira Cardona-Valdés, Samuel Nucamendi-Guillén, Luis A. Ricardez-Sandoval	A capacitated lot-sizing problem in the industrial fashion sector under uncertainty: a conditional value-at-risk framework.	Int. J. Prod. Res.	2023	DBLP DOI BibTeX RDF
18	Dongjin Lee, Boris Kramer	Multifidelity conditional value-at-risk estimation by dimensionally decomposed generalized polynomial chaos-Kriging.	Reliab. Eng. Syst. Saf.	2023	DBLP DOI BibTeX RDF
18	Sundar Ganesh, Fabio Nobile	Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method.	J. Comput. Phys.	2023	DBLP DOI BibTeX RDF
18	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
18	Dohyeong Kim, Songhwai Oh	TRC: Trust Region Conditional Value at Risk for Safe Reinforcement Learning.	CoRR	2023	DBLP DOI BibTeX RDF
18	Dohyeong Kim, Songhwai Oh	Efficient Off-Policy Safe Reinforcement Learning Using Trust Region Conditional Value at Risk.	CoRR	2023	DBLP DOI BibTeX RDF
18	Lucas Monteiro Paes, Ananda Theertha Suresh, Alex Beutel, Flávio P. Calmon, Ahmad Beirami	Multi-Group Fairness Evaluation via Conditional Value-at-Risk Testing.	CoRR	2023	DBLP DOI BibTeX RDF
18	Yuen-Man Pun, Farhad Farokhi, Iman Shames	Distributionally Time-Varying Online Stochastic Optimization under Polyak-Łojasiewicz Condition with Application in Conditional Value-at-Risk Statistical Learning.	CoRR	2023	DBLP DOI BibTeX RDF
18	Alaa Eddine Chriat, Chuangchuang Sun	Wasserstein Distributionally Robust Control Barrier Function using Conditional Value-at-Risk with Differentiable Convex Programming.	CoRR	2023	DBLP DOI BibTeX RDF
18	Marwa Thabet, Brahim Hnich, Mouhebeddine Berrima	Investigating, quantifying and controlling the co-location attack's conditional value at risk of VM placement strategies.	Future Gener. Comput. Syst.	2023	DBLP DOI BibTeX RDF
18	Isabella Bianchini, Alexander Sauer, Lea Bitterolf	Industrial Energy Flexibility Scheduling Based on Conditional Value at Risk.	ISGT EUROPE	2023	DBLP DOI BibTeX RDF
18	Dohyeong Kim, Songhwai Oh	Efficient Off-Policy Safe Reinforcement Learning Using Trust Region Conditional Value At Risk.	IEEE Robotics Autom. Lett.	2022	DBLP DOI BibTeX RDF
18	Dohyeong Kim, Songhwai Oh	TRC: Trust Region Conditional Value at Risk for Safe Reinforcement Learning.	IEEE Robotics Autom. Lett.	2022	DBLP DOI BibTeX RDF
18	Astghik Hakobyan, Insoon Yang	Wasserstein Distributionally Robust Motion Control for Collision Avoidance Using Conditional Value-at-Risk.	IEEE Trans. Robotics	2022	DBLP DOI BibTeX RDF
18	Chengyang Ying, Xinning Zhou, Hang Su 0006, Dong Yan, Ning Chen 0002, Jun Zhu 0001	Towards Safe Reinforcement Learning via Constraining Conditional Value-at-Risk.	CoRR	2022	DBLP DOI BibTeX RDF
18	Sundar Ganesh, Fabio Nobile	Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method.	CoRR	2022	DBLP DOI BibTeX RDF
18	Avinash N. Madavan, Nathan Dahlin, Subhonmesh Bose, Lang Tong	Conditional Value at Risk-Sensitive Solar Hosting Capacity Analysis in Distribution Networks.	CoRR	2022	DBLP DOI BibTeX RDF
18	Dongjin Lee, Boris Kramer	Bi-fidelity conditional-value-at-risk estimation by dimensionally decomposed generalized polynomial chaos expansion.	CoRR	2022	DBLP DOI BibTeX RDF
18	Dongjin Lee, Boris Kramer	Multifidelity conditional value-at-risk estimation by dimensionally decomposed generalized polynomial chaos-Kriging.	CoRR	2022	DBLP DOI BibTeX RDF
18	Ashish Cherukuri	Sample Average Approximation of Conditional Value-at-risk based Variational Inequalities.	CoRR	2022	DBLP DOI BibTeX RDF
18	Zhijian He	Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo.	Eur. J. Oper. Res.	2022	DBLP DOI BibTeX RDF
18	Stefano Nasini, Martine Labbé, Luce Brotcorne	Multi-market portfolio optimization with conditional value at risk.	Eur. J. Oper. Res.	2022	DBLP DOI BibTeX RDF
18	Roy Karasik, Osvaldo Simeone, Hyeryung Jang, Shlomo Shamai Shitz	Learning to Broadcast for Ultra-Reliable Communication With Differential Quality of Service via the Conditional Value at Risk.	IEEE Trans. Commun.	2022	DBLP DOI BibTeX RDF
18	Yan Tu, Hongwei Shi, Xiaoyang Zhou, Benjamin Lev	Optimal trade-off of integrated river basin water resources allocation considering water market: A bi-level multi-objective model with conditional value-at-risk constraints.	Comput. Ind. Eng.	2022	DBLP DOI BibTeX RDF
18	Jin-Ping Zhang, Ke-Ming Zhang	Portfolio Selection Optimization with Hierarchical Fuzzy Conditional Value-at-Risk.	FSDM	2022	DBLP DOI BibTeX RDF
18	Ali Alameer, Khaled Alshehri	Conditional Value-at-Risk for Quantitative Trading: A Direct Reinforcement Learning Approach.	CCTA	2022	DBLP DOI BibTeX RDF
18	Anand Deo, Karthyek Murthy, Tirtho Sarker	Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk.	WSC	2022	DBLP DOI BibTeX RDF
18	Chengyang Ying, Xinning Zhou, Hang Su 0006, Dong Yan, Ning Chen 0002, Jun Zhu 0001	Towards Safe Reinforcement Learning via Constraining Conditional Value-at-Risk.	IJCAI	2022	DBLP DOI BibTeX RDF
18	Yang Liu 0209, Tianyu Liu 0001, Shusen He	Coordination and Optimization of CCHP Microgrid Group Game Based on the Interaction of Electric and Thermal Energy Considering Conditional Value at Risk.	IEEE Access	2021	DBLP DOI BibTeX RDF
18	Ang Xuan, Xinwei Shen 0001, Qinglai Guo, Hongbin Sun 0002	A Conditional Value-at-Risk Based Planning Model for Integrated Energy System with Energy Storage and Renewables.	CoRR	2021	DBLP BibTeX RDF
18	Mathieu Godbout, Maxime Heuillet, Sharath Chandra, Rupali Bhati, Audrey Durand	CARL: Conditional-value-at-risk Adversarial Reinforcement Learning.	CoRR	2021	DBLP BibTeX RDF
18	Roy Karasik, Osvaldo Simeone, Hyeryung Jang, Shlomo Shamai	Learning to Broadcast for Ultra-Reliable Communication with Differential Quality of Service via the Conditional Value at Risk.	CoRR	2021	DBLP BibTeX RDF
18	Avinash N. Madavan, Subhonmesh Bose	A Stochastic Primal-Dual Method for Optimization with Conditional Value at Risk Constraints.	J. Optim. Theory Appl.	2021	DBLP DOI BibTeX RDF
18	Wei Li 0173, Mi Xiao, Akhil Garg 0002, Liang Gao 0001	A New Approach to Solve Uncertain Multidisciplinary Design Optimization Based on Conditional Value at Risk.	IEEE Trans Autom. Sci. Eng.	2021	DBLP DOI BibTeX RDF