Search results for "CVaR"

Hits ?▲	Authors	Title	Venue	Year	Link
20	Panagiotis Kl. Barkoutsos, Giacomo Nannicini, Anton Robert, Ivano Tavernelli, Stefan Woerner	Improving Variational Quantum Optimization using CVaR.	Quantum	2020	DBLP DOI BibTeX RDF
20	Takamitsu Kurita	Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data.	J. Multivar. Anal.	2020	DBLP DOI BibTeX RDF
20	Fei Ye 0006, Qiang Lin, Yina Li	Coordination for contract farming supply chain with stochastic yield and demand under CVaR criterion.	Oper. Res.	2020	DBLP DOI BibTeX RDF
20	Jasper Verbree, Ashish Cherukuri	Stochastic approximation for CVaR-based variational inequalities.	CDC	2020	DBLP DOI BibTeX RDF
20	Ramtin Keramati, Christoph Dann, Alex Tamkin, Emma Brunskill	Being Optimistic to Be Conservative: Quickly Learning a CVaR Policy.	AAAI	2020	DBLP DOI BibTeX RDF
20	Vira Zrazhevska, Grigoriy Zrazhevsky	Generalized Approach for Estimatingand Forecasting of Dynamical VaRand CVaR Based on Metalog Distribution.	ISDMCI	2020	DBLP DOI BibTeX RDF
20	Shengli Pan 0001, Zhiyong Zhang, Tao Xue, Guangmin Hu	Enhancing Availability for the MEC Service: CVaR-based Computation Offloading.	ICPADS	2020	DBLP DOI BibTeX RDF
20	Prashanth L. A., Krishna P. Jagannathan, Ravi Kumar Kolla	Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributions.	ICML	2020	DBLP BibTeX RDF
20	Dongliang Xiao, Hongbo Sun 0003, Daniel Nikovski, Shoichi Kitamura, Kazuyuki Mori, Hiroyuki Hashimoto	CVaR-constrained Stochastic Bidding Strategy for a Virtual Power Plant with Mobile Energy Storages.	ISGT-Europe	2020	DBLP DOI BibTeX RDF
20	Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard	Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR.	Ann. Oper. Res.	2019	DBLP DOI BibTeX RDF
20	Zhiming Chen, Kunwen Yuan, Shaorui Zhou	Supply chain coordination with trade credit under the CVaR criterion.	Int. J. Prod. Res.	2019	DBLP DOI BibTeX RDF
20	Carlo Filippi, Wlodzimierz Ogryczak, M. Grazia Speranza	Bridging k-sum and CVaR optimization in MILP.	Comput. Oper. Res.	2019	DBLP DOI BibTeX RDF
20	Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee, Tsao-Yuan Chuang	Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models.	Comput. Oper. Res.	2019	DBLP DOI BibTeX RDF
20	Ye Shi, Layth C. Alwan, Christopher S. Tang, Xiaohang Yue	A newsvendor model with autocorrelated demand under a time-consistent dynamic CVaR measure.	IISE Trans.	2019	DBLP DOI BibTeX RDF
20	Astghik Hakobyan, Gyeong Chan Kim, Insoon Yang	Risk-Aware Motion Planning and Control Using CVaR-Constrained Optimization.	IEEE Robotics Autom. Lett.	2019	DBLP DOI BibTeX RDF
20	Xiaolong Li, Jiannan Ke	Robust assortment optimization using worst-case CVaR under the multinomial logit model.	Oper. Res. Lett.	2019	DBLP DOI BibTeX RDF
20	Dylan Troop, Fréderic Godin, Jia Yuan Yu	Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR.	CoRR	2019	DBLP BibTeX RDF
20	Ramtin Keramati, Christoph Dann, Alex Tamkin, Emma Brunskill	Being Optimistic to Be Conservative: Quickly Learning a CVaR Policy.	CoRR	2019	DBLP BibTeX RDF
20	Ashish Cherukuri	Sample average approximation of CVaR-based Wardrop equilibrium in routing under uncertain costs.	CoRR	2019	DBLP BibTeX RDF
20	Mualla Gonca Avci	Lateral transshipment and expedited shipping in disruption recovery: A mean-CVaR approach.	Comput. Ind. Eng.	2019	DBLP DOI BibTeX RDF
20	Marcello Urgo	A branch-and-bound approach to schedule a no-wait flow shop to minimize the CVaR of the residual work content.	Comput. Ind. Eng.	2019	DBLP DOI BibTeX RDF
20	Anubha Goel, Amita Sharma, Aparna Mehra	Robust optimization of mixed CVaR STARR ratio using copulas.	J. Comput. Appl. Math.	2019	DBLP DOI BibTeX RDF
20	Juan Li 0003, Jie Chen 0003, Bin Xin 0002	Optimizing multi-objective uncertain multi-stage weapon target assignment problems with the risk measure CVaR.	ICCA	2019	DBLP DOI BibTeX RDF
20	Silvestr Stanko, Karel Macek	Risk-averse Distributional Reinforcement Learning: A CVaR Optimization Approach.	IJCCI	2019	DBLP DOI BibTeX RDF
20	Léonard Torossian, Aurélien Garivier, Victor Picheny	$\mathcal{X}$-Armed Bandits: Optimizing Quantiles, CVaR and Other Risks.	ACML	2019	DBLP BibTeX RDF
20	Ashish Cherukuri	Sample average approximation of CVaR-based Wardrop equilibrium in routing under uncertain costs.	CDC	2019	DBLP DOI BibTeX RDF
20	Yihua Wang, Wanyi Chen	A Decomposition-Based Hybrid Estimation of Distribution Algorithm for Practical Mean-CVaR Portfolio Optimization.	ICIC (2)	2019	DBLP DOI BibTeX RDF
20	Ramin Farajifijani, Saeed Ahmadian, Saba Ebrahimi, Ehsan Ghotbi	Wind Farm Layout Optimization Problem Using Joint Probability Distribution of CVaR Analysis.	CCWC	2019	DBLP DOI BibTeX RDF
20	Lun Cai, Zhihong Deng	A CVaR Estimation Model Based on Stable Distribution in SPAN System.	BIC-TA (2)	2019	DBLP DOI BibTeX RDF
20	Naiqi Liu, Yanju Chen, Yankui Liu	Optimizing portfolio selection problems under credibilistic CVaR criterion.	J. Intell. Fuzzy Syst.	2018	DBLP DOI BibTeX RDF
20	R. Tyrrell Rockafellar, Johannes O. Royset	Superquantile/CVaR risk measures: second-order theory.	Ann. Oper. Res.	2018	DBLP DOI BibTeX RDF
20	Konstantin Pavlikov, Stan Uryasev	CVaR distance between univariate probability distributions and approximation problems.	Ann. Oper. Res.	2018	DBLP DOI BibTeX RDF
20	Liangyan Tao, Desheng Dash Wu, Sifeng Liu, Alexandre Dolgui	Optimal due date quoting for a risk-averse decision-maker under CVaR.	Int. J. Prod. Res.	2018	DBLP DOI BibTeX RDF
20	Yong Xie, Hongwei Wang 0002, Hui Lu	Coordination of Supply Chains With a Retailer Under the Mean-CVaR Criterion.	IEEE Trans. Syst. Man Cybern. Syst.	2018	DBLP DOI BibTeX RDF
20	Ali Irfan Mahmutogullari, Özlem Çavus, M. Selim Aktürk	Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR.	Eur. J. Oper. Res.	2018	DBLP DOI BibTeX RDF
20	Somayyeh Lotfi, Stavros A. Zenios	Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances.	Eur. J. Oper. Res.	2018	DBLP DOI BibTeX RDF
20	Yanmin Liu, Rui Leng, Changling Sui, Lian Yuan, Tao Huang 0018	PSO Application in CVAR Model.	ICIC (3)	2018	DBLP DOI BibTeX RDF
20	Nor Idayu Mat Rifin, Nuru'l-'Izzah Othman, Shahirulliza Shamsul Ambia, Rashidah Ismail	Improved Conditional Value-at-Risk (CVaR) Based Method for Diversified Bond Portfolio Optimization.	SCDS	2018	DBLP DOI BibTeX RDF
20	Per Enqvist, Göran Svensson	A Marginal Allocation Approach to Resource Management for a System of Multiclass Multiserver Queues Using Abandonment and CVaR QoS Measures.	ICORES (Selected Papers)	2018	DBLP DOI BibTeX RDF
20	Per Enqvist, Göran Svensson	Multi-server Marginal Allocation - With CVaR and Abandonment based QoS Measures.	ICORES	2018	DBLP DOI BibTeX RDF
20	Guy Uziel, Ran El-Yaniv	Growth-Optimal Portfolio Selection under CVaR Constraints.	AISTATS	2018	DBLP BibTeX RDF
20	Jianxin Chen, Yong-Wu Zhou	A Risk-Averse Newsvendor Model Under Trade Credit Contract with CVaR.	Asia Pac. J. Oper. Res.	2017	DBLP DOI BibTeX RDF
20	Reza Keykhaei	A note on optimal portfolio corresponding to the CVaR ratio.	RAIRO Oper. Res.	2017	DBLP DOI BibTeX RDF
20	Hongming Yang, Sanhua Zhang, Jing Qiu 0001, Duo Qiu, Mingyong Lai, Zhao Yang Dong	CVaR-Constrained Optimal Bidding of Electric Vehicle Aggregators in Day-Ahead and Real-Time Markets.	IEEE Trans. Ind. Informatics	2017	DBLP DOI BibTeX RDF
20	Amita Sharma, Sebastian Utz, Aparna Mehra	Omega-CVaR portfolio optimization and its worst case analysis.	OR Spectr.	2017	DBLP DOI BibTeX RDF
20	Guy Uziel, Ran El-Yaniv	Growth-Optimal Portfolio Selection under CVaR Constraints.	CoRR	2017	DBLP BibTeX RDF
20	Sujay Bhatt, Vikram Krishnamurthy	Controlled Information Fusion with Risk-Averse CVaR Social Sensors.	CoRR	2017	DBLP BibTeX RDF
20	Jianjun Gao 0001, Ke Zhou, Duan Li 0002, Xi-Ren Cao	Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time.	SIAM J. Control. Optim.	2017	DBLP DOI BibTeX RDF
20	Mohammad A. M. Abdel-Aal, Shokri Z. Selim	Risk-averse multi-product selective newsvendor problem with different market entry scenarios under CVaR criterion.	Comput. Ind. Eng.	2017	DBLP DOI BibTeX RDF
20	Alejandro Balbás, Beatriz Balbás, Raquel Balbás	Differential equations connecting VaR and CVaR.	J. Comput. Appl. Math.	2017	DBLP DOI BibTeX RDF
20	Alejandro Balbás, Beatriz Balbás, Raquel Balbás	VaR as the CVaR sensitivity: Applications in risk optimization.	J. Comput. Appl. Math.	2017	DBLP DOI BibTeX RDF
20	Madalina Deaconu, Antoine Lejay, Khaled Salhi	Approximation of CVaR minimization for hedging under exponential-Lévy models.	J. Comput. Appl. Math.	2017	DBLP DOI BibTeX RDF
20	Bruno C. Barroso, Fernando Garcia Diniz Campos Ferreira, Gustavo P. Hanaoka, Felipe D. Paiva, Rodrigo T. N. Cardoso	Composition of investment portfolios through a combinatorial multiobjective optimization model using CVaR.	CEC	2017	DBLP DOI BibTeX RDF
20	Chen Li, Zhonghua Lu, Yonghong Hu, Fang Liu, Jue Wang 0013	A Parallel Hybrid Intelligent Algorithm for Fuzzy Mean-CVaR Portfolio Model.	HPCC/SmartCity/DSS	2017	DBLP DOI BibTeX RDF
20	Sujay Bhatt, Vikram Krishnamurthy	Controlled information fusion with risk-averse CVaR social sensors.	CDC	2017	DBLP DOI BibTeX RDF
20	Yibing Chen, Xiaolei Sun, Jianping Li 0001	Pension Fund Asset Allocation: A Mean-Variance Model with CVaR Constraints.	ICCS	2017	DBLP DOI BibTeX RDF
20	Somayeh Moazeni, Thomas F. Coleman, Yuying Li 0001	Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy.	Ann. Oper. Res.	2016	DBLP DOI BibTeX RDF
20	Xi Chen 0040, Kyoung-Kuk Kim	Efficient VaR and CVaR Measurement via Stochastic Kriging.	INFORMS J. Comput.	2016	DBLP DOI BibTeX RDF
20	Juan Ma, Foad Mahdavi Pajouh, Balabhaskar Balasundaram, Vladimir Boginski	The Minimum Spanning k-Core Problem with Bounded CVaR Under Probabilistic Edge Failures.	INFORMS J. Comput.	2016	DBLP DOI BibTeX RDF
20	Miguel Asensio, Javier Contreras	Stochastic Unit Commitment in Isolated Systems With Renewable Penetration Under CVaR Assessment.	IEEE Trans. Smart Grid	2016	DBLP DOI BibTeX RDF
20	Vikram Krishnamurthy, Sujay Bhatt	Sequential Detection of Market Shocks With Risk-Averse CVaR Social Sensors.	IEEE J. Sel. Top. Signal Process.	2016	DBLP DOI BibTeX RDF
20	David E. Allen, Robert J. Robert, Abhay K. Singh	Take it to the limit: Innovative CVaR applications to extreme credit risk measurement.	Eur. J. Oper. Res.	2016	DBLP DOI BibTeX RDF
20	Alexander Mafusalov, Stan Uryasev	CVaR (superquantile) norm: Stochastic case.	Eur. J. Oper. Res.	2016	DBLP DOI BibTeX RDF
20	Shangmei Zhao, Qing Lu, Liyan Han, Yong Liu, Fei Hu	A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution.	Ann. Oper. Res.	2015	DBLP DOI BibTeX RDF
20	Angela Tsao, Xiang Shi, Alexander Melnikov	CVaR hedging under stochastic interest rate.	Frontiers Appl. Math. Stat.	2015	DBLP DOI BibTeX RDF
20	Amir Abbas Najafi, Siamak Mushakhian	Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs.	Appl. Math. Comput.	2015	DBLP DOI BibTeX RDF
20	Xinsheng Xu, Zhiqing Meng, Rui Shen 0001	A cooperation model based on CVaR measure for a two-stage supply chain.	Int. J. Syst. Sci.	2015	DBLP DOI BibTeX RDF
20	Yuichi Takano, Keisuke Nanjo, Noriyoshi Sukegawa, Shinji Mizuno	Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs.	Comput. Manag. Sci.	2015	DBLP DOI BibTeX RDF
20	Václav Kozmík	On variance reduction of mean-CVaR Monte Carlo estimators.	Comput. Manag. Sci.	2015	DBLP DOI BibTeX RDF
20	Yinlam Chow, Aviv Tamar, Shie Mannor, Marco Pavone 0001	Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach.	CoRR	2015	DBLP BibTeX RDF
20	Valerijonas Dumskis, Leonidas Sakalauskas	Nonlinear Stochastic Programming Involving CVaR in the Objective and Constraints.	Informatica	2015	DBLP BibTeX RDF
20	Yongqiao Wang, Chuangyin Dang, Shouyang Wang	Robust Novelty Detection via Worst Case CVaR Minimization.	IEEE Trans. Neural Networks Learn. Syst.	2015	DBLP DOI BibTeX RDF
20	Xiangyu Cui, Yun Shi	Multiperiod Mean-CVaR Portfolio Selection.	MCO (1)	2015	DBLP DOI BibTeX RDF
20	Aviv Tamar, Yonatan Glassner, Shie Mannor	Optimizing the CVaR via Sampling.	AAAI	2015	DBLP DOI BibTeX RDF
20	Yinlam Chow, Aviv Tamar, Shie Mannor, Marco Pavone 0001	Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach.	NIPS	2015	DBLP BibTeX RDF
20	Qingpei Zeng	Stochastic supply chain network design under the mean-CVaR criterion.		2015	RDF
20	Uma Ravat, Uday V. Shanbhag, Richard B. Sowers	On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions.	Optim. Methods Softw.	2014	DBLP DOI BibTeX RDF
20	Liyan Xu, Bo Yu 0003	CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems.	Comput. Optim. Appl.	2014	DBLP DOI BibTeX RDF
20	Konstantin Pavlikov, Stan Uryasev	CVaR norm and applications in optimization.	Optim. Lett.	2014	DBLP DOI BibTeX RDF
20	Shuming Wang, Junzo Watada, Witold Pedrycz	Granular Robust Mean-CVaR Feedstock Flow Planning for Waste-to-Energy Systems Under Integrated Uncertainty.	IEEE Trans. Cybern.	2014	DBLP DOI BibTeX RDF
20	Prashanth L. A.	Policy Gradients for CVaR-Constrained MDPs.	CoRR	2014	DBLP BibTeX RDF
20	Yinlam Chow, Mohammad Ghavamzadeh	Algorithms for CVaR Optimization in MDPs.	CoRR	2014	DBLP BibTeX RDF
20	Timothy C. Y. Chan, Houra Mahmoudzadeh, Thomas G. Purdie	A robust-CVaR optimization approach with application to breast cancer therapy.	Eur. J. Oper. Res.	2014	DBLP DOI BibTeX RDF
20	Prashanth L. A.	Policy Gradients for CVaR-Constrained MDPs.	ALT	2014	DBLP DOI BibTeX RDF
20	Wu Bin, Kejing Zhang	Research on coordination contract with two ordering opportunities under CVaR criterion.	SOLI	2014	DBLP DOI BibTeX RDF
20	Maria Elvira Piñeiro Maceira, L. G. B. Marzano, Débora Dias Jardim Penna, Andre L. Diniz Souto Lima, T. C. Justino	Application of CVaR risk aversion approach in the expansion and operation planning and for setting the spot price in the Brazilian hydrothermal interconnected system.	PSCC	2014	DBLP DOI BibTeX RDF
20	Quande Qin, Li Li 0004, Shi Cheng	A Novel Hybrid Algorithm for Mean-CVaR Portfolio Selection with Real-World Constraints.	ICSI (2)	2014	DBLP DOI BibTeX RDF
20	Yinlam Chow, Mohammad Ghavamzadeh	Algorithms for CVaR Optimization in MDPs.	NIPS	2014	DBLP BibTeX RDF
20	Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi	Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.	Ann. Oper. Res.	2013	DBLP DOI BibTeX RDF
20	Garud Iyengar, Alfred Ka Chun Ma	Fast gradient descent method for Mean-CVaR optimization.	Ann. Oper. Res.	2013	DBLP DOI BibTeX RDF
20	Haixiang Yao, Zhongfei Li, Yongzeng Lai	Mean-CVaR portfolio selection: A nonparametric estimation framework.	Comput. Oper. Res.	2013	DBLP DOI BibTeX RDF
20	Saman Eskandarzadeh, Kourosh Eshghi	Decision tree analysis for a risk averse decision maker: CVaR Criterion.	Eur. J. Oper. Res.	2013	DBLP DOI BibTeX RDF
20	Fengge Yao, Hongmei Wen, Jiaqi Luan	CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory.	Math. Comput. Model.	2013	DBLP DOI BibTeX RDF
20	Jianjun Gao 0001, Yan Xiong	Dynamic mean-CVaR portfolio optimization in continuous-time.	ICCA	2013	DBLP DOI BibTeX RDF
20	Meihua Wang, Chengxian Xu, Fengmin Xu, Honggang Xue	A mixed 0-1 LP for index tracking problem with CVaR risk constraints.	Ann. Oper. Res.	2012	DBLP DOI BibTeX RDF
20	Kolos Csaba Ágoston	CVaR minimization by the SRA algorithm.	Central Eur. J. Oper. Res.	2012	DBLP DOI BibTeX RDF
20	Mahnaz Manteqipour	Incorporating statistical distribution in loss and gain functions in CVaR robust mean-variance portfolios.	CIFEr	2012	DBLP DOI BibTeX RDF
20	Yiyong Feng, Francisco Rubio 0001, Daniel Pérez Palomar	Optimal order execution for algorithmic trading: A CVaR approach.	SPAWC	2012	DBLP DOI BibTeX RDF
20	Xing Yu, Yuling Tan, Liang Liu, Wenfeng Huang	The Optimal Portfolio Model Based on Mean-CvaR with Linear Weighted Sum Method.	CSO	2012	DBLP DOI BibTeX RDF
20	Fanwen Meng, Jie Sun 0001, Mark Goh	A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure.	Comput. Optim. Appl.	2011	DBLP DOI BibTeX RDF