Search results for "value-at-risk"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
16	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
16	Panos Kouvelis, Rong Li	Integrated Risk Management for Newsvendors with Value-at-Risk Constraints.	Manuf. Serv. Oper. Manag.	2019	DBLP DOI BibTeX RDF
16	Ravi Kumar Kolla, Prashanth L. A., Krishna P. Jagannathan	Risk-aware Multi-armed Bandits Using Conditional Value-at-Risk.	CoRR	2019	DBLP BibTeX RDF
16		Risk-sensitive safety specifications for stochastic systems using Conditional Value-at-Risk.	CoRR	2019	DBLP BibTeX RDF
16	Petra Ristau	Implementing Value-at-Risk and Expected Shortfall for Real Time Risk Monitoring.	DATA	2019	DBLP DOI BibTeX RDF
16	Noureddine Lehdili, Arshia Givi	Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge.	Risk Decis. Anal.	2018	DBLP DOI BibTeX RDF
16	Alejandro Peña, Isis Bonet, Christian Lochmuller, Francisco Chiclana, Mario Gongora 0001	Flexible inverse adaptive fuzzy inference model to identify the evolution of operational value at risk for improving operational risk management.	Appl. Soft Comput.	2018	DBLP DOI BibTeX RDF
16	Alejandro Peña, Isis Bonet, Christian Lochmuller, Héctor Alejandro Patiño, Francisco Chiclana, Mario Gongora 0001	A fuzzy credibility model to estimate the Operational Value at Risk using internal and external data of risk events.	Knowl. Based Syst.	2018	DBLP DOI BibTeX RDF
16	I. Ilkay Boduroglu	Portfolio Optimization via a Surrogate Risk Measure: Conditional Desirability Value at Risk (CDVaR).	LION	2018	DBLP DOI BibTeX RDF
16	Wen Song, Donghun Kang, Jie Zhang 0002, Hui Xi	Risk-Aware Proactive Scheduling via Conditional Value-at-Risk.	AAAI	2018	DBLP DOI BibTeX RDF
16	Sabyasachi Guharay, KC Chang, Jie Xu 0004	Estimation of Value-at-Risk Using Mixture Copula Model for Heavy-Tailed Operational Risk Losses in Financial, Insurance & Climatological Data.	FUSION	2018	DBLP DOI BibTeX RDF
16	Yuhan Liu, Dan A. Ralescu	Value-at-risk in uncertain random risk analysis.	Inf. Sci.	2017	DBLP DOI BibTeX RDF
16	Huei-Wen Teng	A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management.	WSC	2017	DBLP DOI BibTeX RDF
16	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
16	Stefano Carpin, Yinlam Chow, Marco Pavone 0001	Risk aversion in finite Markov Decision Processes using total cost criteria and average value at risk.	ICRA	2016	DBLP DOI BibTeX RDF
16	Oscar González Rojas, Sebastián Lesmes	Value at Risk Within Business Processes: An Automated IT Risk Governance Approach.	BPM	2016	DBLP DOI BibTeX RDF
16	Meijia Wang, Peng Zhang 0002, Dawei Song 0001, Jun Wang 0012	Value at Risk for Risk Evaluation in Information Retrieval.	NLPCC/ICCPOL	2016	DBLP DOI BibTeX RDF
16	Davi Baccan, Elton Sbruzzi, Luís Macedo	On the Cognitive Surprise in Risk Management: An Analysis of the Value-at-Risk (VaR) Historical.	EPIA	2015	DBLP DOI BibTeX RDF
16	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
16	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
16	Amir Ahmadi-Javid	Addendum to: Entropic Value-at-Risk: A New Coherent Risk Measure.	J. Optim. Theory Appl.	2012	DBLP DOI BibTeX RDF
16	Amir Ahmadi-Javid	Entropic Value-at-Risk: A New Coherent Risk Measure.	J. Optim. Theory Appl.	2012	DBLP DOI BibTeX RDF
16	Cheng-Der Fuh, Inchi Hu, Ya-Hui Hsu, Ren-Her Wang	Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors.	Oper. Res.	2011	DBLP DOI BibTeX RDF
16	Zhaoyang Lu	Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks.	Math. Comput. Simul.	2011	DBLP DOI BibTeX RDF
16	Michael McAleer, Bernardo da Veiga, Suhejla Hoti	Value-at-Risk for country risk ratings.	Math. Comput. Simul.	2011	DBLP DOI BibTeX RDF
16	Loretta Mastroeni, Maurizio Naldi	Compensation Policies and Risk in Service Level Agreements: A Value-at-Risk Approach under the ON-OFF Service Model.	ICQT	2011	DBLP DOI BibTeX RDF
16	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
16	Jin Peng	Average Value at Risk in Fuzzy Risk Analysis.	ICFIE	2009	DBLP DOI BibTeX RDF
16	Hisashi Kashima	Risk-Sensitive Learning via Minimization of Empirical Conditional Value-at-Risk.	IEICE Trans. Inf. Syst.	2007	DBLP DOI BibTeX RDF
16	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
16	Matt Davison 0001	Review of risk management: value at risk and beyond, edited by M.A.H. Dempster. Cambridge University Press 2002.	SIGSAM Bull.	2003	DBLP DOI BibTeX RDF
16	Jules Sadefo Kamdem	Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors	CoRR	2003	DBLP BibTeX RDF
16	Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev	Credit risk optimization with Conditional Value-at-Risk criterion.	Math. Program.	2001	DBLP DOI BibTeX RDF
16	Darrell Duffie, Jun Pan	Analytical value-at-risk with jumps and credit risk.	Finance Stochastics	2001	DBLP DOI BibTeX RDF
16	Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin	Value-at-risk with heavy-tailed risk factors.	CIFEr	2000	DBLP DOI BibTeX RDF
16	Renato Carandang	Derivative portfolio risk management using a value-at-risk framework.	CIFEr	1997	DBLP DOI BibTeX RDF
15	H. Chen, Louis-François Pau	Individual Tariffs for Mobile Services: Analysis of Operator Business and Risk Consequences.	ICMB	2007	DBLP DOI BibTeX RDF
15	Hyoseok Lee, Jaewook Lee 0001, Younggui Yoon, Sooyoung Kim	Coherent Risk Measure Using Feedfoward Neural Networks.	ISNN (2)	2005	DBLP DOI BibTeX RDF
13	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
13	Kin Keung Lai, Kaijian He, Chi Xie, Shou Chen	Market Risk Measurement for Crude Oil: A Wavelet Based VaR Approach.	IJCNN	2006	DBLP DOI BibTeX RDF
11	Lei Liu, Marcello Urgo	A branch-and-bound approach to minimise the value-at-risk of the makespan in a stochastic two-machine flow shop.	Int. J. Prod. Res.	2024	DBLP DOI BibTeX RDF
11	Sevde Bilal, Yusuf Tansel Iç	How COVID-19 pandemic influenced the countries? A value at risk based fuzzy TOPSIS approach using IF-THEN rules.	J. Ambient Intell. Humaniz. Comput.	2024	DBLP DOI BibTeX RDF
11	Ashish Cherukuri	Sample average approximation of conditional value-at-risk based variational inequalities.	Optim. Lett.	2024	DBLP DOI BibTeX RDF
11	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
11	Xiaoyu Liu, Xing Yan, Kun Zhang 0036	Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement.	Eur. J. Oper. Res.	2024	DBLP DOI BibTeX RDF
11	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
11	Cosimo Munari, Justin Plückebaum, Stefan Weber	Robust Portfolio Selection under Recovery Average Value at Risk.	SIAM J. Financial Math.	2024	DBLP DOI BibTeX RDF
11	Sepideh Taghikhani, Fahimeh Baroughi 0001, Behrooz Alizadeh	Mean-variance value at risk criterion for solving a p-median location problem on networks with type-2 intuitionistic fuzzy weights.	J. Comput. Appl. Math.	2024	DBLP DOI BibTeX RDF
11	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
11	Yannick Hoga, Matei Demetrescu	Monitoring Value-at-Risk and Expected Shortfall Forecasts.	Manag. Sci.	2023	DBLP DOI BibTeX RDF
11	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
11	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
11	Wei Liu, Li Yang, Bo Yu 0003	Distributionally Robust Optimization Based on Kernel Density Estimation and Mean-Entropic Value-at-Risk.	INFORMS J. Optim.	2023	DBLP DOI BibTeX RDF
11	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
11	Farnaz Hooshmand, Z. Anoushirvani, S. A. MirHassani	Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure.	Int. Trans. Oper. Res.	2023	DBLP DOI BibTeX RDF
11	Farid Bagheri, Diego Reforgiato Recupero, Espen Sirnes	Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation.	Data	2023	DBLP DOI BibTeX RDF
11	Mátyás Barczy, Ádám Dudás, József Gáll	On approximations of value at risk and expected shortfall involving kurtosis.	Commun. Stat. Simul. Comput.	2023	DBLP DOI BibTeX RDF
11	Khreshna Syuhada, Arief Hakim, Risti Nur'aini	The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data.	Commun. Stat. Simul. Comput.	2023	DBLP DOI BibTeX RDF
11	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
11	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
11	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
11	Suparna Biswas, Rituparna Sen	Nonparametric Estimation of Range Value at Risk.	Comput.	2023	DBLP DOI BibTeX RDF
11	Dohyeong Kim, Songhwai Oh	TRC: Trust Region Conditional Value at Risk for Safe Reinforcement Learning.	CoRR	2023	DBLP DOI BibTeX RDF
11	Dohyeong Kim, Songhwai Oh	Efficient Off-Policy Safe Reinforcement Learning Using Trust Region Conditional Value at Risk.	CoRR	2023	DBLP DOI BibTeX RDF
11	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
11	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
11	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
11	Souad Chennaf, Jaleleddine Ben Amor	Entropic value at risk to find the optimal uncertain random portfolio.	Soft Comput.	2023	DBLP DOI BibTeX RDF
11	Khreshna Syuhada, Venansius Tjahjono, Arief Hakim	Improving Value-at-Risk forecast using GA-ARMA-GARCH and AI-KDE models.	Appl. Soft Comput.	2023	DBLP DOI BibTeX RDF
11	Zhenfeng Zou, Qinyu Wu, Zichao Xia, Taizhong Hu	Adjusted Rényi entropic Value-at-Risk.	Eur. J. Oper. Res.	2023	DBLP DOI BibTeX RDF
11	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
11	Jyotirmayee Behera, Ajit Kumar Pasayat, Harekrushna Behera, Pankaj Kumar 0002	Prediction based mean-value-at-risk portfolio optimization using machine learning regression algorithms for multi-national stock markets.	Eng. Appl. Artif. Intell.	2023	DBLP DOI BibTeX RDF
11	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
11	Adirek Vajrapatkul	Volatility and Value at Risk of Gold Return.	ICEME	2023	DBLP DOI BibTeX RDF
11	Peter Mitic	Direct Determination of Operational Value-at-Risk Using Descriptive Statistics.	IDEAL	2023	DBLP DOI BibTeX RDF
11	Jared Miller, Matteo Tacchi, Mario Sznaier, Ashkan Jasour	Peak Value-at-Risk Estimation for Stochastic Differential Equations Using Occupation Measures.	CDC	2023	DBLP DOI BibTeX RDF
11	Isabella Bianchini, Alexander Sauer, Lea Bitterolf	Industrial Energy Flexibility Scheduling Based on Conditional Value at Risk.	ISGT EUROPE	2023	DBLP DOI BibTeX RDF
11	Chun-Xia Zhang 0002, Jun Li, Xing-Fang Huang, Jiang-She Zhang 0001, Hua-Chuan Huang	Forecasting stock volatility and value-at-risk based on temporal convolutional networks.	Expert Syst. Appl.	2022	DBLP DOI BibTeX RDF
11	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
11	Dohyeong Kim, Songhwai Oh	TRC: Trust Region Conditional Value at Risk for Safe Reinforcement Learning.	IEEE Robotics Autom. Lett.	2022	DBLP DOI BibTeX RDF
11	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
11	Massimiliano Frezza, Sergio Bianchi, Augusto Pianese	Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process.	Comput. Manag. Sci.	2022	DBLP DOI BibTeX RDF
11	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
11	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
11	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
11	Dongjin Lee, Boris Kramer	Bi-fidelity conditional-value-at-risk estimation by dimensionally decomposed generalized polynomial chaos expansion.	CoRR	2022	DBLP DOI BibTeX RDF
11	Dongjin Lee, Boris Kramer	Multifidelity conditional value-at-risk estimation by dimensionally decomposed generalized polynomial chaos-Kriging.	CoRR	2022	DBLP DOI BibTeX RDF
11	Ashish Cherukuri	Sample Average Approximation of Conditional Value-at-risk based Variational Inequalities.	CoRR	2022	DBLP DOI BibTeX RDF
11	Qiqi Li, Zhongfeng Qin, Yingchen Yan	Uncertain random portfolio optimization model with tail value-at-risk.	Soft Comput.	2022	DBLP DOI BibTeX RDF
11	Zhijian He	Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo.	Eur. J. Oper. Res.	2022	DBLP DOI BibTeX RDF
11	Stefano Nasini, Martine Labbé, Luce Brotcorne	Multi-market portfolio optimization with conditional value at risk.	Eur. J. Oper. Res.	2022	DBLP DOI BibTeX RDF
11	Arnau Erola, Ioannis Agrafiotis, Jason R. C. Nurse, Louise Axon, Michael Goldsmith, Sadie Creese	A system to calculate Cyber Value-at-Risk.	Comput. Secur.	2022	DBLP DOI BibTeX RDF
11	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
11	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
11	Sepideh Taghikhani, Fahimeh Baroughi 0001, Behrooz Alizadeh	A generalized interval type-2 fuzzy random variable based algorithm under mean chance value at risk criterion for inverse 1-median location problems on tree networks with uncertain costs.	J. Comput. Appl. Math.	2022	DBLP DOI BibTeX RDF
11	B. Venkateswarlu, V. Viswanath Shenoi, Praveen Tumuluru	CAViaR-WS-based HAN: conditional autoregressive value at risk-water sailfish-based hierarchical attention network for emotion classification in COVID-19 text review data.	Soc. Netw. Anal. Min.	2022	DBLP DOI BibTeX RDF
11	Jin-Ping Zhang, Ke-Ming Zhang	Portfolio Selection Optimization with Hierarchical Fuzzy Conditional Value-at-Risk.	FSDM	2022	DBLP DOI BibTeX RDF
11	Ali Alameer, Khaled Alshehri	Conditional Value-at-Risk for Quantitative Trading: A Direct Reinforcement Learning Approach.	CCTA	2022	DBLP DOI BibTeX RDF
11	Peter Mitic	Maximum Value-at-Risk.	ICO	2022	DBLP DOI BibTeX RDF
11	Anand Deo, Karthyek Murthy, Tirtho Sarker	Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk.	WSC	2022	DBLP DOI BibTeX RDF