Search results for "value-at-risk"

Hits ?▲	Authors	Title	Venue	Year	Link
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.	IJCAI	2022	DBLP DOI BibTeX RDF
11	Theo Berger, Gunnar Moys	Value-at-risk backtesting: Beyond the empirical failure rate.	Expert Syst. Appl.	2021	DBLP DOI BibTeX RDF
11	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
11	Seyed Mohammad Sina Seyfi, Azin Sharifi, Hamidreza Arian	Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model.	Math. Comput. Simul.	2021	DBLP DOI BibTeX RDF
11	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
11	Mathieu Godbout, Maxime Heuillet, Sharath Chandra, Rupali Bhati, Audrey Durand	CARL: Conditional-value-at-risk Adversarial Reinforcement Learning.	CoRR	2021	DBLP BibTeX RDF
11	Quoc Phong Nguyen, Zhongxiang Dai, Bryan Kian Hsiang Low, Patrick Jaillet	Value-at-Risk Optimization with Gaussian Processes.	CoRR	2021	DBLP BibTeX RDF
11	Robert Sicks, Stefanie Grimm, Ralf Korn, Ivo Richert	Estimating the Value-at-Risk by Temporal VAE.	CoRR	2021	DBLP BibTeX RDF
11	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
11	Yajuan Liu, Hamed Ahmadzade, Mehran Farahikia	Portfolio selection of uncertain random returns based on value at risk.	Soft Comput.	2021	DBLP DOI BibTeX RDF
11	Melvern Leung, Youwei Li, Athanasios A. Pantelous, Samuel A. Vigne	Bayesian Value-at-Risk backtesting: The case of annuity pricing.	Eur. J. Oper. Res.	2021	DBLP DOI BibTeX RDF
11	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
11	Xiaojin Zheng, Xueting Cui	Quadratic convex reformulations for the portfolio selection problem with Value-at-Risk constraint.	Comput. Ind. Eng.	2021	DBLP DOI BibTeX RDF
11	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
11	Chen Nan, Jianfeng Cai 0002, Wenting Han	Coordination of Supply Chain of a Three-level Fresh Products Based on Conditional Value at Risk.	IEEM	2021	DBLP DOI BibTeX RDF
11	Quoc Phong Nguyen, Zhongxiang Dai, Bryan Kian Hsiang Low, Patrick Jaillet	Optimizing Conditional Value-At-Risk of Black-Box Functions.	NeurIPS	2021	DBLP BibTeX RDF
11	Quoc Phong Nguyen, Zhongxiang Dai, Bryan Kian Hsiang Low, Patrick Jaillet	Value-at-Risk Optimization with Gaussian Processes.	ICML	2021	DBLP BibTeX RDF
11	Markus Leippold, Nikola Vasiljevic	Option-Implied Intrahorizon Value at Risk.	Manag. Sci.	2020	DBLP DOI BibTeX RDF
11	Akram Soltanpour, Fahimeh Baroughi Bonab, Behrooz Alizadeh	The inverse 1-median location problem on uncertain tree networks with tail value at risk criterion.	Inf. Sci.	2020	DBLP DOI BibTeX RDF
11	Zhaoyang Lu	Some Approximate Results of Value-at-Risk for Dependent Compound Stochastic Sums of Heavy-Tailed Risks.	IEEE Access	2020	DBLP DOI BibTeX RDF
11	Lu-Tao Zhao, Zhiyi Zheng, Ying Fu, Ze-Xi Liu, Ming-Fang Li	Google Index-Driven Oil Price Value-at-Risk Forecasting: A Decomposition Ensemble Approach.	IEEE Access	2020	DBLP DOI BibTeX RDF
11	Albert Antwi, Kwabena A. Kyei, Ryan S. Gill	The Use of Mutual Information to Improve Value-at-Risk Forecasts for Exchange Rates.	IEEE Access	2020	DBLP DOI BibTeX RDF
11	Carlo Filippi, Gianfranco Guastaroba, Maria Grazia Speranza	Conditional value-at-risk beyond finance: a survey.	Int. Trans. Oper. Res.	2020	DBLP DOI BibTeX RDF
11	Maria Letizia Guerra, Laerte Sorini	Value at Risk Based on Fuzzy Numbers.	Axioms	2020	DBLP DOI BibTeX RDF
11	Dazhi Wang, Yanhua Chen, Hongfeng Wang, Min Huang 0001	Formulation of the Non-Parametric Value at Risk Portfolio Selection Problem Considering Symmetry.	Symmetry	2020	DBLP DOI BibTeX RDF
11	M. Ivette Gomes, Frederico Caeiro, Fernanda Figueiredo, Lígia Henriques-Rodrigues, Dinis Pestana	Corrected-Hill versus partially reduced-bias value-at-risk estimation.	Commun. Stat. Simul. Comput.	2020	DBLP DOI BibTeX RDF
11	Guo-Dong Xing, Xiaoli Gan, Xiaohu Li, Shanchao Yang	On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails.	Commun. Stat. Simul. Comput.	2020	DBLP DOI BibTeX RDF
11	Emrah Altun	A new approach to Value-at-Risk: GARCH-TSLx model with inference.	Commun. Stat. Simul. Comput.	2020	DBLP DOI BibTeX RDF
11	Marios Mavronicolas, Burkhard Monien	Conditional Value-at-Risk: Structure and complexity of equilibria.	Theor. Comput. Sci.	2020	DBLP DOI BibTeX RDF
11	Vini Yves Bernadin Loyara, Remi Guillaume Bagré, Diakarya Barro	Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula.	Int. J. Math. Math. Sci.	2020	DBLP DOI BibTeX RDF
11	Hao-Hsiang Wu, Simge Küçükyavuz	An exact method for constrained maximization of the conditional value-at-risk of a class of stochastic submodular functions.	Oper. Res. Lett.	2020	DBLP DOI BibTeX RDF
11	Marius Lux, Wolfgang Karl Härdle, Stefan Lessmann	Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid.	Comput. Stat.	2020	DBLP DOI BibTeX RDF
11	Matthias Heinkenschloss, Boris Kramer, Timur Takhtaganov	Adaptive Reduced-Order Model Construction for Conditional Value-at-Risk Estimation.	SIAM/ASA J. Uncertain. Quantification	2020	DBLP DOI BibTeX RDF
11	Giovanni Paolo Crespi, Elisa Mastrogiacomo	Qualitative robustness of set-valued value-at-risk.	Math. Methods Oper. Res.	2020	DBLP DOI BibTeX RDF
11	Subhojit Biswas, Diganta Mukherjee	Discrete time portfolio optimisation managing value at risk under heavy tail return distribution.	Int. J. Math. Model. Numer. Optimisation	2020	DBLP DOI BibTeX RDF
11	Tasuku Soma, Yuichi Yoshida	Statistical Learning with Conditional Value at Risk.	CoRR	2020	DBLP BibTeX RDF
11	Zakaria Mhammedi, Benjamin Guedj, Robert C. Williamson	PAC-Bayesian Bound for the Conditional Value at Risk.	CoRR	2020	DBLP BibTeX RDF
11	Zhengkun Li, Minh-Ngoc Tran, Chao Wang, Richard Gerlach, Junbin Gao	A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting.	CoRR	2020	DBLP BibTeX RDF
11	Astghik Hakobyan, Insoon Yang	Wasserstein Distributionally Robust Motion Control for Collision Avoidance Using Conditional Value-at-Risk.	CoRR	2020	DBLP BibTeX RDF
11	Alexander Arimond, Damian Borth, Andreas Hoepner, Michael Klawunn, Stefan Weisheit	Neural Networks and Value at Risk.	CoRR	2020	DBLP BibTeX RDF
11	Yuhan Liu, Dan A. Ralescu, Chen Xiao, Waichon Lio	Tail value-at-risk in uncertain random environment.	Soft Comput.	2020	DBLP DOI BibTeX RDF
11	Sepideh Taghikhani, Fahimeh Baroughi Bonab, Behrooz Alizadeh	The mean chance conditional value at risk under interval type-2 intuitionistic fuzzy random environment.	Soft Comput.	2020	DBLP DOI BibTeX RDF
11	Xiaochun Meng, James W. Taylor	Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data.	Eur. J. Oper. Res.	2020	DBLP DOI BibTeX RDF
11	Yinghui Dong, Harry Zheng	Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan.	Eur. J. Oper. Res.	2020	DBLP DOI BibTeX RDF
11	Alessandro Staino, Emilio Russo	Nested Conditional Value-at-Risk portfolio selection: A model with temporal dependence driven by market-index volatility.	Eur. J. Oper. Res.	2020	DBLP DOI BibTeX RDF
11	Sahar Mohammadi, Alireza Nazemi	On portfolio management with value at risk and uncertain returns via an artificial neural network scheme.	Cogn. Syst. Res.	2020	DBLP DOI BibTeX RDF
11	Liang-Chuan Wu, Liang-Hong Wu, Fan-Yun Pai	Combined Stochastic Process and Value at Risk: A Real-World Information System Decision Case.	Entropy	2020	DBLP DOI BibTeX RDF
11	Chang Liu, Chuo Chang, Zhe Chang	Maximum Varma Entropy Distribution with Conditional Value at Risk Constraints.	Entropy	2020	DBLP DOI BibTeX RDF
11	Thai Nguyen, Mitja Stadje	Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts.	SIAM J. Control. Optim.	2020	DBLP DOI BibTeX RDF
11	Peter A. Forsyth	Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?	SIAM J. Financial Math.	2020	DBLP DOI BibTeX RDF
11	Fatemeh Rezaei, Amir Abbas Najafi, Reza Ramezanian	Mean-conditional value at risk model for the stochastic project scheduling problem.	Comput. Ind. Eng.	2020	DBLP DOI BibTeX RDF
11	Ata Allah Taleizadeh, Mahdi Mokhtarzadeh	Pricing and two-dimensional warranty policy of multi-products with online and offline channels using a value-at-risk approach.	Comput. Ind. Eng.	2020	DBLP DOI BibTeX RDF
11	Bao-Lin Zhu, Bin Wen, Shoufeng Ji, Ruozhen Qiu	Coordinating a dual-channel supply chain with conditional value-at-risk under uncertainties of yield and demand.	Comput. Ind. Eng.	2020	DBLP DOI BibTeX RDF
11	Astghik Hakobyan, Insoon Yang	Wasserstein Distributionally Robust Motion Planning and Control with Safety Constraints Using Conditional Value-at-Risk.	ICRA	2020	DBLP DOI BibTeX RDF
11	Viviane Y. Naimy, Johnny El Chidiac, Rim El Khoury	Volatility and Value at Risk of Crypto Versus Fiat Currencies.	BIS (Workshops)	2020	DBLP DOI BibTeX RDF
11	Zakaria Mhammedi, Benjamin Guedj, Robert C. Williamson	PAC-Bayesian Bound for the Conditional Value at Risk.	NeurIPS	2020	DBLP BibTeX RDF
11	Raisa Dzhamtyrova, Yuri Kalnishkan	Prediction with Expert Advice for Value at Risk.	IJCNN	2020	DBLP DOI BibTeX RDF
11	Behrouz Banitalebi, Srimantoorao Semischetty Appadoo, Aerambamoorthy Thavaneswaran	Data Driven Approach for Reduced Value at Risk Forecasts in Renewable Power Supply Systems.	CCECE	2020	DBLP DOI BibTeX RDF
11	George Tzagkarakis, Frantz Maurer, Thomas Dionysopoulos	Nonparametric Adaptive Value-at-Risk Quantification Based on the Multiscale Energy Distribution of Asset Returns.	EUSIPCO	2020	DBLP DOI BibTeX RDF
11	Janani Venkatasubramanian, Vahab Rostampour, Tamás Keviczky	Stochastic MPC for Energy Management in Smart Grids with Conditional Value at Risk as Penalty Function.	ISGT-Europe	2020	DBLP DOI BibTeX RDF
11	Ruchika Sehgal, Aparna Mehra	Enhanced indexing using weighted conditional value at risk.	Ann. Oper. Res.	2019	DBLP DOI BibTeX RDF
11	Subho Paul, Narayana Prasad Padhy	Resilient Scheduling Portfolio of Residential Devices and Plug-In Electric Vehicle by Minimizing Conditional Value at Risk.	IEEE Trans. Ind. Informatics	2019	DBLP DOI BibTeX RDF
11	Ravi Kumar Kolla, Prashanth L. A., Sanjay P. Bhat, Krishna P. Jagannathan	Concentration bounds for empirical conditional value-at-risk: The unbounded case.	Oper. Res. Lett.	2019	DBLP DOI BibTeX RDF
11	Albert Akhriev, Jakub Marecek	Deep Autoencoders with Value-at-Risk Thresholding for Unsupervised Anomaly Detection.	CoRR	2019	DBLP BibTeX RDF
11	Nathan Kallus, Xiaojie Mao, Masatoshi Uehara	Localized Debiased Machine Learning: Efficient Estimation of Quantile Treatment Effects, Conditional Value at Risk, and Beyond.	CoRR	2019	DBLP BibTeX RDF
11	Takuya Hiraoka, Takahisa Imagawa, Tatsuya Mori, Takashi Onishi, Yoshimasa Tsuruoka	Learning Robust Options by Conditional Value at Risk Optimization.	CoRR	2019	DBLP BibTeX RDF
11	Zhijian He	Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo.	CoRR	2019	DBLP BibTeX RDF
11	Sanjay P. Bhat, Prashanth L. A.	Improved Concentration Bounds for Conditional Value-at-Risk and Cumulative Prospect Theory using Wasserstein distance.	CoRR	2019	DBLP BibTeX RDF
11	Akram Soltanpour, Fahimeh Baroughi Bonab, Behrooz Alizadeh	Intuitionistic fuzzy inverse 1-median location problem on tree networks with value at risk objective.	Soft Comput.	2019	DBLP DOI BibTeX RDF
11	Amir Ahmadi-Javid, Malihe Fallah-Tafti	Portfolio optimization with entropic value-at-risk.	Eur. J. Oper. Res.	2019	DBLP DOI BibTeX RDF
11	Elena Fernández, Yolanda Hinojosa, Justo Puerto, Francisco Saldanha-da-Gama	New algorithmic framework for conditional value at risk: Application to stochastic fixed-charge transportation.	Eur. J. Oper. Res.	2019	DBLP DOI BibTeX RDF
11	Xiangyu Cui, Jianjun Gao 0001, Yun Shi, Shushang Zhu	Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection.	Eur. J. Oper. Res.	2019	DBLP DOI BibTeX RDF
11	Daniel Traian Pele, Miruna Mazurencu-Marinescu-Pele	Using High-Frequency Entropy to Forecast Bitcoin's Daily Value at Risk.	Entropy	2019	DBLP DOI BibTeX RDF
11	Duaa Serhan, Sang Won Yoon, Sung Hoon Chung	Dynamic reconfiguration of terminal airspace during convective weather: Robust optimization and conditional value-at-risk approaches.	Comput. Ind. Eng.	2019	DBLP DOI BibTeX RDF
11	Petchaluck Boonyakunakorn, Pathairat Pastpipatkul, Songsak Sriboonchitta	Value at Risk of SET Returns Based on Bayesian Markov-Switching GARCH Approach.	Structural Changes and their Econometric Modeling	2019	DBLP DOI BibTeX RDF
11	Yuji Yoshida, Satoru Kumamoto	Dynamic Average Value-at-Risk Allocation on Worst Scenarios in Asset Management.	TAMC	2019	DBLP DOI BibTeX RDF
11	Siu Cheung, Ziqi Chen, Yanli Li	Comparing the Estimations of Value-at-Risk Using Artificial Network and Other Methods for Business Sectors.	INNSBDDL	2019	DBLP DOI BibTeX RDF
11	Aerambamoorthy Thavaneswaran, Ruppa K. Thulasiram, Zimo Zhu, Mohammed Erfanul Hoque, Nalini Ravishanker	Fuzzy Value-at-Risk Forecasts Using a Novel Data-Driven Neuro Volatility Predictive Model.	COMPSAC (2)	2019	DBLP DOI BibTeX RDF
11	Daniel Reghin, Fábio Lopes 0003	Value-at-Risk prediction for the Brazilian stock market: A comparative study between Parametric Method, Feedforward and LSTM Neural Network.	CLEI	2019	DBLP DOI BibTeX RDF
11	Zhichao Du, Menghan Wang, Zhewen Xu	On Estimation of Value-at-Risk with Recurrent Neural Network.	AI4I	2019	DBLP DOI BibTeX RDF
11	Yanning Wang, Yue Jiang, Guoqian He	Using Artificial Neural Network to Predict Value-at-Risk of S&P 500 Market Index with External Information.	BCD	2019	DBLP DOI BibTeX RDF
11	Albert Akhriev, Jakub Marecek	Deep Autoencoders with Value-at-Risk Thresholding for Unsupervised Anomaly Detection.	ISM	2019	DBLP DOI BibTeX RDF
11	Takuya Hiraoka, Takahisa Imagawa, Tatsuya Mori, Takashi Onishi, Yoshimasa Tsuruoka	Learning Robust Options by Conditional Value at Risk Optimization.	NeurIPS	2019	DBLP BibTeX RDF
11	Sergey G. Shorokhov, Victoria V. Khaptakhanova	Web based application for operational loss collection and value-at-risk and expected shortfall calculation.	ITTMM (Selected Papers)	2019	DBLP BibTeX RDF
11	Petchaluck Boonyakunakorn, Pathairat Pastpipatkul, Songsak Sriboonchitta	Value at Risk of the Stock Market in ASEAN-5.	ECONVN	2019	DBLP DOI BibTeX RDF
11	Desheng Wu, Chatpailin Thanyaluckpark	Value at Risk Performance in BRICS countries.	CYBCONF	2019	DBLP DOI BibTeX RDF
11	Philip S. Thomas, Erik G. Learned-Miller	Concentration Inequalities for Conditional Value at Risk.	ICML	2019	DBLP BibTeX RDF
11	Charles-Olivier Amédée-Manesme, Fabrice Barthélémy	Ex-ante real estate Value at Risk calculation method.	Ann. Oper. Res.	2018	DBLP DOI BibTeX RDF
11	Amy Givler Chapman, John E. Mitchell 0001	A fair division approach to humanitarian logistics inspired by conditional value-at-risk.	Ann. Oper. Res.	2018	DBLP DOI BibTeX RDF
11	Danjue Shang, Victor Kuzmenko, Stan Uryasev	Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk.	Ann. Oper. Res.	2018	DBLP DOI BibTeX RDF
11	Sona Kilianová, Daniel Sevcovic	Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization.	Kybernetika	2018	DBLP DOI BibTeX RDF
11	Xueting Cui, Xiaoling Sun 0001, Shushang Zhu, Rujun Jiang, Duan Li 0002	Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method.	INFORMS J. Comput.	2018	DBLP DOI BibTeX RDF
11	Heng-Guo Zhang, Libo Wu, Yan Song, Chi-Wei Su, Qingping Wang, Fei Su	An Online Sequential Learning Non-parametric Value-at-Risk Model for High-Dimensional Time Series.	Cogn. Comput.	2018	DBLP DOI BibTeX RDF
11	Xue Dong He, Xian Hua Peng	Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk.	Oper. Res.	2018	DBLP DOI BibTeX RDF
11	Konstantin Pavlikov, Alexander Veremyev, Eduardo L. Pasiliao	Optimization of Value-at-Risk: computational aspects of MIP formulations.	J. Oper. Res. Soc.	2018	DBLP DOI BibTeX RDF
11	Jochen Gönsch, Michael Hassler, Rouven Schur	Optimizing conditional value-at-risk in dynamic pricing.	OR Spectr.	2018	DBLP DOI BibTeX RDF
11	Tao Pang, Cagatay Karan	A closed-form solution of the Black-Litterman model with conditional value at risk.	Oper. Res. Lett.	2018	DBLP DOI BibTeX RDF
11	Merve Merakli, Simge Küçükyavuz	Vector-valued multivariate conditional value-at-risk.	Oper. Res. Lett.	2018	DBLP DOI BibTeX RDF
11	Matthias Heinkenschloss, Boris Kramer, Timur Takhtaganov, Karen Willcox	Conditional-Value-at-Risk Estimation via Reduced-Order Models.	SIAM/ASA J. Uncertain. Quantification	2018	DBLP DOI BibTeX RDF
11	Ravi Kumar Kolla, Prashanth L. A., Sanjay P. Bhat, Krishna P. Jagannathan	Concentration bounds for empirical conditional value-at-risk: The unbounded case.	CoRR	2018	DBLP BibTeX RDF