Search results for "CVaR"

Found 217 publication records. Showing 216 according to the selection in the facets

Hits ?▲	Authors	Title	Venue	Year	Link
20	Zhiqing Meng, Min Jiang, Qiying Hu	Dynamic CVaR with multi-period risk problems.	J. Syst. Sci. Complex.	2011	DBLP DOI BibTeX RDF
20	Wenqing Chen, Melvyn Sim, Jie Sun 0001, Chung-Piaw Teo	From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization.	Oper. Res.	2010	DBLP DOI BibTeX RDF
20	Xiaojiao Tong, Liqun Qi 0001, Felix F. Wu, Hui Zhou	A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset.	Appl. Math. Comput.	2010	DBLP DOI BibTeX RDF
20	Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima	Portfolio selection under distributional uncertainty: A relative robust CVaR approach.	Eur. J. Oper. Res.	2010	DBLP DOI BibTeX RDF
20	Pu Huang, Dharmashankar Subramanian, Jie Xu	An importance sampling method for portfolio CVaR estimation with Gaussian copula models.	WSC	2010	DBLP DOI BibTeX RDF
20	Yuelin Gao, Bo Wang, Xiaohui An	Portfolio Model Based on CVaR Under Friction Market.	ICEE	2010	DBLP DOI BibTeX RDF
20	Lei Yang, Minghui Xu, Gang Yu, Hanqin Zhang	Supply Chain Coordination with CVaR Criterion.	Asia Pac. J. Oper. Res.	2009	DBLP DOI BibTeX RDF
20	Xiaojiao Tong, Felix F. Wu, Liqun Qi 0001	Worst-case CVaR based portfolio optimization models with applications to scenario planning.	Optim. Methods Softw.	2009	DBLP DOI BibTeX RDF
20	Youhua (Frank) Chen, Minghui Xu 0002, Zhe George Zhang	Technical Note - A Risk-Averse Newsvendor Model Under the CVaR Criterion.	Oper. Res.	2009	DBLP DOI BibTeX RDF
20	Olivier Bardou, Noufel Frikha, Gilles Pagès	Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling.	Monte Carlo Methods Appl.	2009	DBLP DOI BibTeX RDF
20	Harry Zheng	Efficient frontier of utility and CVaR.	Math. Methods Oper. Res.	2009	DBLP DOI BibTeX RDF
20	Lu Cheng, Zhongping Wan, Guangmin Wang	Bilevel newsvendor models considering retailer with CVaR objective.	Comput. Ind. Eng.	2009	DBLP DOI BibTeX RDF
20	Manying Bai, Jie Ma	The CVaR constrained stochastic programming ALM model for defined benefit pension funds.	Int. J. Model. Identif. Control.	2009	DBLP DOI BibTeX RDF
20	Csaba I. Fábián	Handling CVaR objectives and constraints in two-stage stochastic models.	Eur. J. Oper. Res.	2008	DBLP DOI BibTeX RDF
20	Zhiping Chen	Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control.	OR Spectr.	2005	DBLP DOI BibTeX RDF
20	Gordon J. Alexander, Alexandre M. Baptista	A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model.	Manag. Sci.	2004	DBLP DOI BibTeX RDF

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