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GrowBag graphs for keyword ? (Num. hits/coverage)
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The graphs summarize 106 occurrences of 65 keywords
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Results
Found 548 publication records. Showing 548 according to the selection in the facets
Hits ?▲ |
Authors |
Title |
Venue |
Year |
Link |
Author keywords |
11 | Samantha Samuelson, Insoon Yang |
Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
CoRR ![In: CoRR abs/1802.07903, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP BibTeX RDF |
|
11 | Jan Kretínský, Tobias Meggendorfer |
Conditional Value-at-Risk for Reachability and Mean Payoff in Markov Decision Processes. ![Search on Bibsonomy](Pics/bibsonomy.png) |
CoRR ![In: CoRR abs/1805.02946, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP BibTeX RDF |
|
11 | Vahidreza Ghezavati, Parisa Hosseinifar |
Application of efficient metaheuristics to solve a new bi-objective optimization model for hub facility location problem considering value at risk criterion. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Soft Comput. ![In: Soft Comput. 22(1), pp. 195-212, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Wei-Guo Zhang 0002, Guo-Li Mo, Fang Liu 0017, Yong-Jun Liu 0001 |
Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Soft Comput. ![In: Soft Comput. 22(16), pp. 5279-5297, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Onur Babat, Juan C. Vera 0001, Luis F. Zuluaga |
Computing near-optimal Value-at-Risk portfolios using integer programming techniques. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 266(1), pp. 304-315, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Ming Luo, Shaomin Wu |
A value-at-risk approach to optimisation of warranty policy. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 267(2), pp. 513-522, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Sebastián Arpón, Tito Homem-de-Mello, Bernardo K. Pagnoncelli |
Scenario reduction for stochastic programs with Conditional Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Math. Program. ![In: Math. Program. 170(1), pp. 327-356, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Lujun Li, Hui Shao, Ruodu Wang, Jingping Yang |
Worst-Case Range Value-at-Risk with Partial Information. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SIAM J. Financial Math. ![In: SIAM J. Financial Math. 9(1), pp. 190-218, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Bo Wang 0027, You Li, Shuming Wang, Junzo Watada |
A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio. ![Search on Bibsonomy](Pics/bibsonomy.png) |
IEEE Trans. Fuzzy Syst. ![In: IEEE Trans. Fuzzy Syst. 26(6), pp. 3673-3687, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | A. I. Fadahunsi, Robert M. Mnatsakanov |
Recovery of ruin probability and Value at Risk from the scaled Laplace transform inversion. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Comput. Appl. Math. ![In: J. Comput. Appl. Math. 342, pp. 249-262, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Anubha Goel, Amita Sharma, Aparna Mehra |
Index tracking and enhanced indexing using mixed conditional value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Comput. Appl. Math. ![In: J. Comput. Appl. Math. 335, pp. 361-380, 2018. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Yuji Yoshida |
Maximization of Returns under Value-at-Risk Constraints in Dynamic Fuzzy Asset Allocation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
FUZZ-IEEE ![In: 2018 IEEE International Conference on Fuzzy Systems, FUZZ-IEEE 2018, Rio de Janeiro, Brazil, July 8-13, 2018, pp. 1-6, 2018, IEEE, 978-1-5090-6020-7. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Maxim Fomin, Sergey Shorokhov |
On Value-at-Risk and Expected Shortfall of Financial Asset with Stochastic Pricing. ![Search on Bibsonomy](Pics/bibsonomy.png) |
ICUMT ![In: 10th International Congress on Ultra Modern Telecommunications and Control Systems and Workshops, ICUMT 2018, Moscow, Russia, November 5-9, 2018, pp. 1-10, 2018, IEEE, 978-1-5386-9361-2. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Jan Kretínský, Tobias Meggendorfer |
Conditional Value-at-Risk for Reachability and Mean Payoff in Markov Decision Processes. ![Search on Bibsonomy](Pics/bibsonomy.png) |
LICS ![In: Proceedings of the 33rd Annual ACM/IEEE Symposium on Logic in Computer Science, LICS 2018, Oxford, UK, July 09-12, 2018, pp. 609-618, 2018, ACM. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Samantha Samuelson, Insoon Yang |
Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
ACC ![In: 2018 Annual American Control Conference, ACC 2018, Milwaukee, WI, USA, June 27-29, 2018, pp. 6285-6290, 2018, IEEE, 978-1-5386-5428-6. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Mayca Joy M. Amante, John Paulo A. Calinisan, Vicente L. Co, Venusmar C. Quevedo, Francispito P. Quevedo |
Value-at-Risk and Expected Shortfall in Technology Hardware and Equipment Industry Using Fuzzy Model. ![Search on Bibsonomy](Pics/bibsonomy.png) |
TENCON ![In: TENCON 2018 - 2018 IEEE Region 10 Conference, Jeju, South Korea, October 28-31, 2018, pp. 2539-2544, 2018, IEEE, 978-1-5386-5457-6. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Kaijian He, Lei Ji, Geoffrey K. F. Tso, Bangzhu Zhu, Yingchao Zou |
Forecasting Exchange Rate Value at Risk using Deep Belief Network Ensemble based Approach. ![Search on Bibsonomy](Pics/bibsonomy.png) |
ITQM ![In: Proceedings of the 6th International Conference on Information Technology and Quantitative Management, ITQM 2018, Advanced Information Technology and Global Business Competition, October 20-21, 2018, Omaha, Nebraska, USA, pp. 25-32, 2018, Elsevier. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Siti Noorfaera Karim, Maheran Mohd Jaffar |
Forecasting Value at Risk of Foreign Exchange Rate by Integrating Geometric Brownian Motion. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SCDS ![In: Soft Computing in Data Science - 4th International Conference, SCDS 2018, Bangkok, Thailand, August 15-16, 2018, Proceedings, pp. 186-198, 2018, Springer, 978-981-13-3440-5. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | 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. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SCDS ![In: Soft Computing in Data Science - 4th International Conference, SCDS 2018, Bangkok, Thailand, August 15-16, 2018, Proceedings, pp. 149-160, 2018, Springer, 978-981-13-3440-5. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Toan Luu Duc Huynh, Sang Phu Nguyen, Duy Duong |
Pricing Assets with Higher Co-moments and Value-at-Risk by Quantile Regression Approach: Evidence from Vietnam Stock Market. ![Search on Bibsonomy](Pics/bibsonomy.png) |
ECONVN ![In: Econometrics for Financial Applications, ECONVN 2018, International Econometric Conference of Vietnam, Ho Chi Minh, Vietnam, 15-16 January, 2018, pp. 953-986, 2018, Springer, 978-3-319-73149-0. The full citation details ...](Pics/full.jpeg) |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Zhongfeng Qin, Yuanzhen Dai, Haitao Zheng |
Uncertain random portfolio optimization models based on value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Intell. Fuzzy Syst. ![In: J. Intell. Fuzzy Syst. 32(6), pp. 4523-4531, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Semih Atakan, Kerem Bülbül, Nilay Noyan |
Minimizing value-at-risk in single-machine scheduling. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Ann. Oper. Res. ![In: Ann. Oper. Res. 248(1-2), pp. 25-73, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Hung-Hsin Chen, Chang-Biau Yang |
Multiperiod portfolio investment using stochastic programming with conditional value at risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Oper. Res. ![In: Comput. Oper. Res. 81, pp. 305-321, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Fengxia Hu, Rongming Wang |
Optimal investment-consumption strategy with liability and regime switching model under Value-at-Risk constraint. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Appl. Math. Comput. ![In: Appl. Math. Comput. 313, pp. 103-118, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Xinxia Yang, Ratthachat Chatpatanasiri, Pairote Sattayatham |
Value at risk estimation under stochastic volatility models using adaptive PMCMC methods. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Commun. Stat. Simul. Comput. ![In: Commun. Stat. Simul. Comput. 46(9), pp. 7221-7237, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Leandro Maciel, Rosangela Ballini, Fernando A. C. Gomide |
An evolving possibilistic fuzzy modeling approach for Value-at-Risk estimation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Appl. Soft Comput. ![In: Appl. Soft Comput. 60, pp. 820-830, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Arturo J. Fernández |
Economic lot sampling inspection from defect counts with minimum conditional value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 258(2), pp. 573-580, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Christopher W. Miller, Insoon Yang |
Optimal Control of Conditional Value-at-Risk in Continuous Time. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SIAM J. Control. Optim. ![In: SIAM J. Control. Optim. 55(2), pp. 856-884, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Atiq Waliullah Siddiqui, Manish Verma |
A conditional value-at-risk based methodology to intermediate-term planning of crude oil tanker fleet. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Ind. Eng. ![In: Comput. Ind. Eng. 113, pp. 405-418, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Qingye Zhang, Yan Gao |
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Comput. Appl. Math. ![In: J. Comput. Appl. Math. 313, pp. 440-447, 2017. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Fahed Mostafa, Tharam S. Dillon, Elizabeth Chang 0001 |
Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk ![Search on Bibsonomy](Pics/bibsonomy.png) |
|
2017 |
DOI RDF |
|
11 | Leandro Maciel, Rosangela Ballini, Fernando A. C. Gomide |
Evolving Possibilistic Fuzzy Modeling and Application in Value-at-Risk Estimation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Granular, Soft and Fuzzy Approaches for Intelligent Systems ![In: Granular, Soft and Fuzzy Approaches for Intelligent Systems - Dedicated to Professor Ronald R. Yager, pp. 119-139, 2017, 978-3-319-40312-0. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Marios Mavronicolas, Burkhard Monien |
Conditional Value-at-Risk: Structure and Complexity of Equilibria. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SAGT ![In: Algorithmic Game Theory - 10th International Symposium, SAGT 2017, L'Aquila, Italy, September 12-14, 2017, Proceedings, pp. 131-143, 2017, Springer, 978-3-319-66699-0. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Yuji Yoshida |
A Dynamic Average Value-at-Risk Portfolio Model with Fuzzy Random Variables. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Fuzzy Sets, Rough Sets, Multisets and Clustering ![In: Fuzzy Sets, Rough Sets, Multisets and Clustering, pp. 291-306, 2017, Springer, 978-3-319-47556-1. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Shuai Ma 0004, Jia Yuan Yu |
Transition-based versus state-based reward functions for MDPs with Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Allerton ![In: 55th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2017, Monticello, IL, USA, October 3-6, 2017, pp. 974-981, 2017, IEEE, 978-1-5386-3266-6. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Yuji Yoshida |
Maximization of Returns under an Average Value-at-Risk Constraint in Fuzzy Asset Management. ![Search on Bibsonomy](Pics/bibsonomy.png) |
KES ![In: Knowledge-Based and Intelligent Information & Engineering Systems: Proceedings of the 21st International Conference KES-2017, Marseille, France, 6-8 September 2017., pp. 11-20, 2017, Elsevier. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | D. N. S. S. Liyanage, G. V. M. P. A. Fernando, D. D. M. M. Arachchi, R. D. D. T. Karunathilaka, Amal Shegan Perera |
Utilizing Intel Advanced Vector Extensions for Monte Carlo Simulation based Value at Risk Computation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
ICCS ![In: International Conference on Computational Science, ICCS 2017, 12-14 June 2017, Zurich, Switzerland, pp. 626-634, 2017, Elsevier. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Eleni Papatzikou, Antony Stathopoulos |
Conditional value-at-risk optimization of traffic control at isolated intersection. ![Search on Bibsonomy](Pics/bibsonomy.png) |
MT-ITS ![In: 5th IEEE International Conference on Models and Technologies for Intelligent Transportation Systems, MT-ITS 2017, Naples, Italy, June 26-28, 2017, pp. 627-632, 2017, IEEE, 978-1-5090-6484-7. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Maurizio Naldi |
Evaluation of customer's losses and value-at-risk under cloud outages. ![Search on Bibsonomy](Pics/bibsonomy.png) |
TSP ![In: 40th International Conference on Telecommunications and Signal Processing, TSP 2017, Barcelona, Spain, July 5-7, 2017, pp. 12-15, 2017, IEEE, 978-1-5090-3982-1. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | João A. R. Esteves, Hugo M. I. Pousinho, Victor M. F. Mendes |
Stochastic Optimal Operation of Concentrating Solar Power Plants Based on Conditional Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
DoCEIS ![In: Technological Innovation for Smart Systems - 8th IFIP WG 5.5/SOCOLNET Advanced Doctoral Conference on Computing, Electrical and Industrial Systems, DoCEIS 2017, Costa de Caparica, Portugal, May 3-5, 2017, Proceedings, pp. 348-357, 2017, 978-3-319-56076-2. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Rui Jorge Almeida, Nalan Bastürk, Robert Golan |
Intraday value-at-risk estimation for directional change events and investment strategies. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SSCI ![In: 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017, Honolulu, HI, USA, November 27 - Dec. 1, 2017, pp. 1-8, 2017, IEEE, 978-1-5386-2726-6. The full citation details ...](Pics/full.jpeg) |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Shahrzad Faghih-Roohi, Yew-Soon Ong, Sobhan Asian, Allan N. Zhang |
Dynamic conditional value-at-risk model for routing and scheduling of hazardous material transportation networks. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Ann. Oper. Res. ![In: Ann. Oper. Res. 247(2), pp. 715-734, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Adam Krzemienowski, Sylwia Szymczyk |
Portfolio optimization with a copula-based extension of conditional value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Ann. Oper. Res. ![In: Ann. Oper. Res. 237(1-2), pp. 219-236, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Oleksandr Romanko, Helmut Mausser |
Robust scenario-based value-at-risk optimization. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Ann. Oper. Res. ![In: Ann. Oper. Res. 237(1-2), pp. 203-218, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Marina Resta |
VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self-Organizing Maps. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Intell. Syst. Account. Finance Manag. ![In: Intell. Syst. Account. Finance Manag. 23(1-2), pp. 47-64, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Yonghui Huang, Xianping Guo |
Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SIAM J. Optim. ![In: SIAM J. Optim. 26(1), pp. 1-28, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Laura Spierdijk |
Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails and skewness. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Stat. Data Anal. ![In: Comput. Stat. Data Anal. 100, pp. 545-559, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Minjo Kim, Sangyeol Lee |
Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Stat. Data Anal. ![In: Comput. Stat. Data Anal. 94, pp. 1-19, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Stephen Chan, Saralees Nadarajah, Emmanuel Afuecheta |
An R Package for Value at Risk and Expected Shortfall. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Commun. Stat. Simul. Comput. ![In: Commun. Stat. Simul. Comput. 45(9), pp. 3416-3434, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Tak Kuen Siu |
Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Autom. ![In: Autom. 74, pp. 194-205, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Martin Branda |
Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour. ![Search on Bibsonomy](Pics/bibsonomy.png) |
4OR ![In: 4OR 14(1), pp. 77-99, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Mauro Bernardi, Leopoldo Catania |
Comparison of Value-at-Risk models using the MCS approach. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Stat. ![In: Comput. Stat. 31(2), pp. 579-608, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Qifa Xu, Xi Liu, Cuixia Jiang, Keming Yu |
Quantile autoregression neural network model with applications to evaluating value at risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Appl. Soft Comput. ![In: Appl. Soft Comput. 49, pp. 1-12, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Kaijian He, Rui Zha, Yanhui Chen, Kin Keung Lai |
Forecasting Energy Value at Risk Using Multiscale Dependence Based Methodology. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Entropy ![In: Entropy 18(5), pp. 170, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Pan Zhao, Qingxian Xiao |
Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Comput. Appl. Math. ![In: J. Comput. Appl. Math. 298, pp. 64-71, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Iakovos Toumazis, Changhyun Kwon |
Worst-Case Conditional Value-at-Risk Minimization for Hazardous Materials Transportation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Transp. Sci. ![In: Transp. Sci. 50(4), pp. 1174-1187, 2016. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Helin Zhu, Joshua Q. Hale, Enlu Zhou |
Optimizing Conditional Value-at-Risk via gradient-based adaptive stochastic search. ![Search on Bibsonomy](Pics/bibsonomy.png) |
WSC ![In: Winter Simulation Conference, WSC 2016, Washington, DC, USA, December 11-14, 2016, pp. 726-737, 2016, IEEE, 978-1-5090-4486-3. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Aymeric Thibault, Pascal Bondon |
A skewed exponential power distribution to measure value at risk in electricity markets. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SSP ![In: IEEE Statistical Signal Processing Workshop, SSP 2016, Palma de Mallorca, Spain, June 26-29, 2016, pp. 1-5, 2016, IEEE, 978-1-4673-7803-1. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Diana Tisheva, Nikolay Netov |
Value at Risk backtesting techniques: Intuitionistic fuzzy approach and InterCriteria Analysis. ![Search on Bibsonomy](Pics/bibsonomy.png) |
IEEE Conf. on Intelligent Systems ![In: 8th IEEE International Conference on Intelligent Systems, IS 2016, Sofia, Bulgaria, September 4-6, 2016, pp. 552-559, 2016, IEEE, 978-1-5090-1354-8. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Sabyasachi Guharay, KC Chang, Jie Xu 0004 |
Robust estimation of value-at-risk through correlated frequency and severity model. ![Search on Bibsonomy](Pics/bibsonomy.png) |
FUSION ![In: 19th International Conference on Information Fusion, FUSION 2016, Heidelberg, Germany, July 5-8, 2016, pp. 995-1002, 2016, IEEE, 978-0-9964-5274-8. The full citation details ...](Pics/full.jpeg) |
2016 |
DBLP BibTeX RDF |
|
11 | Marcelo Brutti Righi, Paulo Sergio Ceretta |
Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Expert Syst. Appl. ![In: Expert Syst. Appl. 42(17-18), pp. 6380-6390, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Frederik Hogenboom, Michael de Winter, Flavius Frasincar, Uzay Kaymak |
A news event-driven approach for the historical value at risk method. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Expert Syst. Appl. ![In: Expert Syst. Appl. 42(10), pp. 4667-4675, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Ralf Östermark |
A parallel algorithm for optimizing the capital structure contingent on maximum value at risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Kybernetes ![In: Kybernetes 44(3), pp. 384-405, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Christopher W. Miller, Insoon Yang |
Optimal Control of Conditional Value-at-Risk in Continuous Time. ![Search on Bibsonomy](Pics/bibsonomy.png) |
CoRR ![In: CoRR abs/1512.05015, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP BibTeX RDF |
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11 | Maciej J. Capinski |
Hedging Conditional Value at Risk with options. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 242(2), pp. 688-691, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Yan Chen, Xuancheng Wang |
A hybrid stock trading system using genetic network programming and mean conditional value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 240(3), pp. 861-871, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Jing-Rung Yu, Wan-Jiun Paul Chiou, Da-Ren Mu |
A linearized value-at-risk model with transaction costs and short selling. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 247(3), pp. 872-878, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Yingchao Zou, Lean Yu, Kaijian He |
Estimating Portfolio Value at Risk in the Electricity Markets Using an Entropy Optimized BEMD Approach. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Entropy ![In: Entropy 17(7), pp. 4519-4532, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Amir Ahmadi-Javid, Roland P. Malhamé |
Optimal Control of a Multistate Failure-Prone Manufacturing System under a Conditional Value-at-Risk Cost Criterion. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Optim. Theory Appl. ![In: J. Optim. Theory Appl. 167(2), pp. 716-732, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Yina Li, Fei Ye 0006, Qiang Lin |
Optimal lead time policy for short life cycle products under Conditional Value-at-Risk criterion. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Ind. Eng. ![In: Comput. Ind. Eng. 88, pp. 354-365, 2015. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Vu-Linh Nguyen, Van-Nam Huynh |
Using Conditional Copula to Estimate Value-at-Risk in Vietnam's Foreign Exchange Market. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Econometrics of Risk ![In: Econometrics of Risk, pp. 471-482, 2015, Springer, 978-3-319-13448-2. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Panisara Phochanachan, Jirakom Sirisrisakulchai, Songsak Sriboonchitta |
Estimating Oil Price Value at Risk Using Belief Functions. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Econometrics of Risk ![In: Econometrics of Risk, pp. 377-389, 2015, Springer, 978-3-319-13448-2. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Dan Gorton |
Modeling Fraud Prevention of Online Services Using Incident Response Trees and Value at Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
ARES ![In: 10th International Conference on Availability, Reliability and Security, ARES 2015, Toulouse, France, August 24-27, 2015, pp. 149-158, 2015, IEEE Computer Society, 978-1-4673-6590-1. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Hasan Arshad Nasir, Algo Carè, Erik Weyer |
A randomised approach to flood control using Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
CDC ![In: 54th IEEE Conference on Decision and Control, CDC 2015, Osaka, Japan, December 15-18, 2015, pp. 3939-3944, 2015, IEEE, 978-1-4799-7886-1. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Georg Hofmann |
Accelerated portfolio optimization with conditional value-at-risk constraints using a cutting-plane method. ![Search on Bibsonomy](Pics/bibsonomy.png) |
SpringSim (ANSS) ![In: Proceedings of the 48th Annual Simulation Symposium, ANSS 2015, part of the 2015 Spring Simulation Multiconference, SpringSim '15, Alexandria, VA, USA, April 12-15, 2015, pp. 188-193, 2015, SCS/ACM, 978-1-5108-0099-1. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP BibTeX RDF |
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11 | Helin Zhu, Enlu Zhou |
Estimation of conditional value-at-risk for input uncertainty with budget allocation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
WSC ![In: Proceedings of the 2015 Winter Simulation Conference, Huntington Beach, CA, USA, December 6-9, 2015, pp. 655-666, 2015, IEEE/ACM, 978-1-4673-9741-4. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Xuan Wang, Junling Cai, Kaijian He |
EMD Copula based Value at Risk Estimates for Electricity Markets. ![Search on Bibsonomy](Pics/bibsonomy.png) |
ITQM ![In: Proceedings of the Third International Conference on Information Technology and Quantitative Management, ITQM 2015, Exploring Data Science in IT and Quantitative Management, Rio De Janeiro, Brazil, July 21-24, 2015, pp. 1318-1324, 2015, Elsevier. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Sattar Vakili, Qing Zhao 0001 |
Mean-variance and value at risk in multi-armed bandit problems. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Allerton ![In: 53rd Annual Allerton Conference on Communication, Control, and Computing, Allerton 2015, Allerton Park & Retreat Center, Monticello, IL, USA, September 29 - October 2, 2015, pp. 1330-1335, 2015, IEEE, 978-1-5090-1824-6. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Theo Berger |
Value-at-Risk Forecasts Based on Decomposed Return Series: The Short Run Matters. ![Search on Bibsonomy](Pics/bibsonomy.png) |
OR ![In: Operations Research Proceedings 2015, Selected Papers of the International Conference of the German, Austrian and Swiss Operations Research Societies (GOR, ÖGOR, SVOR/ASRO), University of Vienna, Austria, September 1-4, 2015., pp. 503-509, 2015, Springer, 978-3-319-42901-4. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn |
Optimization strategies for portable code for Monte Carlo-based value-at-risk systems. ![Search on Bibsonomy](Pics/bibsonomy.png) |
WHPCF@SC ![In: Proceedings of the 8th Workshop on High Performance Computational Finance, WHPCF 2015, Austin, Texas, USA, November 15, 2015, pp. 3:1-3:8, 2015, ACM, 978-1-4503-4015-1. The full citation details ...](Pics/full.jpeg) |
2015 |
DBLP DOI BibTeX RDF |
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11 | Xunfa Lu, Kin Keung Lai, Liang Liang 0001 |
Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Ann. Oper. Res. ![In: Ann. Oper. Res. 219(1), pp. 333-357, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Yingying Kang, Rajan Batta, Changhyun Kwon |
Value-at-Risk model for hazardous material transportation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Ann. Oper. Res. ![In: Ann. Oper. Res. 222(1), pp. 361-387, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Daniel G. Espinoza, Eduardo Moreno 0001 |
A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Optim. Appl. ![In: Comput. Optim. Appl. 59(3), pp. 617-638, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Vladimir Rankovic, Mikica Drenovak, Boban S. Stojanovic, Zoran Kalinic, Zora Arsovski |
The mean-value at risk static portfolio optimization using genetic algorithm. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Comput. Sci. Inf. Syst. ![In: Comput. Sci. Inf. Syst. 11(1), pp. 89-109, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Alla R. Kammerdiner, Alex Sprintson, Eduardo L. Pasiliao, Vladimir Boginski |
Optimization of discrete broadcast under uncertainty using conditional value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Optim. Lett. ![In: Optim. Lett. 8(1), pp. 45-59, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Donald Lien, Xiaobin Yang, Keying Ye |
Alternative Approximations to Value-At-Risk: A Comparison. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Commun. Stat. Simul. Comput. ![In: Commun. Stat. Simul. Comput. 43(10), pp. 2225-2240, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Georgios Pitselis |
Robust Eligible Own Funds and Value at Risk Under Solvency II System. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Commun. Stat. Simul. Comput. ![In: Commun. Stat. Simul. Comput. 43(1), pp. 161-182, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Daniel Zhuoyu Long, Jin Qi |
Distributionally robust discrete optimization with Entropic Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Oper. Res. Lett. ![In: Oper. Res. Lett. 42(8), pp. 532-538, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Aviv Tamar, Yonatan Glassner, Shie Mannor |
Policy Gradients Beyond Expectations: Conditional Value-at-Risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
CoRR ![In: CoRR abs/1404.3862, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP BibTeX RDF |
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11 | María Concepción Ausín, Pedro Galeano, Pulak Ghosh |
A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 232(2), pp. 350-358, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | R. Terry Rockafellar, Johannes O. Royset, S. I. Miranda |
Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 234(1), pp. 140-154, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Hamed Soleimani, Kannan Govindan 0002 |
Reverse logistics network design and planning utilizing conditional value at risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Eur. J. Oper. Res. ![In: Eur. J. Oper. Res. 237(2), pp. 487-497, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Hailin Sun, Huifu Xu, Yong Wang |
Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Optim. Theory Appl. ![In: J. Optim. Theory Appl. 161(1), pp. 257-284, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Subhash C. Sarin, Hanif D. Sherali, Lingrui Liao |
Minimizing conditional-value-at-risk for stochastic scheduling problems. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Sched. ![In: J. Sched. 17(1), pp. 5-15, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
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11 | Hideki Katagiri, Takeshi Uno, Kosuke Kato, Hiroshi Tsuda, Hiroe Tsubaki |
Random fuzzy bilevel linear programming through possibility-based value at risk model. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Int. J. Mach. Learn. Cybern. ![In: Int. J. Mach. Learn. Cybern. 5(2), pp. 211-224, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Peter Tsyurmasto, Michael Zabarankin, Stan Uryasev |
Value-at-risk support vector machine: stability to outliers. ![Search on Bibsonomy](Pics/bibsonomy.png) |
J. Comb. Optim. ![In: J. Comb. Optim. 28(1), pp. 218-232, 2014. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Nikolay Y. Nikolaev, Lilian M. de Menezes, Evgueni N. Smirnov |
Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimation. ![Search on Bibsonomy](Pics/bibsonomy.png) |
CIFEr ![In: IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2014, London, UK, March 27-28, 2014, pp. 310-317, 2014, IEEE. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Mohammadhafez Bazrafshan, Nikolaos Gatsis |
Voltage regulation in electricity distribution networks using the conditional value-at-risk. ![Search on Bibsonomy](Pics/bibsonomy.png) |
GlobalSIP ![In: 2014 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2014, Atlanta, GA, USA, December 3-5, 2014, pp. 909-913, 2014, IEEE, 978-1-4799-7088-9. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Hongqian Wang, Kaijian He, Yingchao Zou |
EMD Based Value at Risk Estimate Algorithm for Electricity Markets. ![Search on Bibsonomy](Pics/bibsonomy.png) |
CSO ![In: Seventh International Joint Conference on Computational Sciences and Optimization, CSO 2014, Beijing, China, July 4-6, 2014, pp. 445-449, 2014, IEEE Computer Society, 978-1-4799-5372-1. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Wolfgang Boehmer |
Bestimmung des technical-Value at Risk mittels der bedingten Wahrscheinlichkeit, Angriffsbäumen und einer Risikofunktion. ![Search on Bibsonomy](Pics/bibsonomy.png) |
Sicherheit ![In: Sicherheit 2014: Sicherheit, Schutz und Zuverlässigkeit, Beiträge der 7. Jahrestagung des Fachbereichs Sicherheit der Gesellschaft für Informatik e.V. (GI), 19.-21. März 2014, Wien, Österreich, pp. 305-317, 2014, GI, 978-3-88579-622-0. The full citation details ...](Pics/full.jpeg) |
2014 |
DBLP BibTeX RDF |
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