|
|
Venues (Conferences, Journals, ...)
|
|
GrowBag graphs for keyword ? (Num. hits/coverage)
Group by:
The graphs summarize 106 occurrences of 65 keywords
|
|
|
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. |
CoRR |
2018 |
DBLP BibTeX RDF |
|
11 | Jan Kretínský, Tobias Meggendorfer |
Conditional Value-at-Risk for Reachability and Mean Payoff in Markov Decision Processes. |
CoRR |
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. |
Soft Comput. |
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. |
Soft Comput. |
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. |
Eur. J. Oper. Res. |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Ming Luo, Shaomin Wu |
A value-at-risk approach to optimisation of warranty policy. |
Eur. J. Oper. Res. |
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. |
Math. Program. |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Lujun Li, Hui Shao, Ruodu Wang, Jingping Yang |
Worst-Case Range Value-at-Risk with Partial Information. |
SIAM J. Financial Math. |
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. |
IEEE Trans. Fuzzy Syst. |
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. |
J. Comput. Appl. Math. |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Anubha Goel, Amita Sharma, Aparna Mehra |
Index tracking and enhanced indexing using mixed conditional value-at-risk. |
J. Comput. Appl. Math. |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Yuji Yoshida |
Maximization of Returns under Value-at-Risk Constraints in Dynamic Fuzzy Asset Allocation. |
FUZZ-IEEE |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Maxim Fomin, Sergey Shorokhov |
On Value-at-Risk and Expected Shortfall of Financial Asset with Stochastic Pricing. |
ICUMT |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Jan Kretínský, Tobias Meggendorfer |
Conditional Value-at-Risk for Reachability and Mean Payoff in Markov Decision Processes. |
LICS |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Samantha Samuelson, Insoon Yang |
Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk. |
ACC |
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. |
TENCON |
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. |
ITQM |
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. |
SCDS |
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. |
SCDS |
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. |
ECONVN |
2018 |
DBLP DOI BibTeX RDF |
|
11 | Zhongfeng Qin, Yuanzhen Dai, Haitao Zheng |
Uncertain random portfolio optimization models based on value-at-risk. |
J. Intell. Fuzzy Syst. |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Semih Atakan, Kerem Bülbül, Nilay Noyan |
Minimizing value-at-risk in single-machine scheduling. |
Ann. Oper. Res. |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Hung-Hsin Chen, Chang-Biau Yang |
Multiperiod portfolio investment using stochastic programming with conditional value at risk. |
Comput. Oper. Res. |
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. |
Appl. Math. Comput. |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Xinxia Yang, Ratthachat Chatpatanasiri, Pairote Sattayatham |
Value at risk estimation under stochastic volatility models using adaptive PMCMC methods. |
Commun. Stat. Simul. Comput. |
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. |
Appl. Soft Comput. |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Arturo J. Fernández |
Economic lot sampling inspection from defect counts with minimum conditional value-at-risk. |
Eur. J. Oper. Res. |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Christopher W. Miller, Insoon Yang |
Optimal Control of Conditional Value-at-Risk in Continuous Time. |
SIAM J. Control. Optim. |
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. |
Comput. Ind. Eng. |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Qingye Zhang, Yan Gao |
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints. |
J. Comput. Appl. Math. |
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 |
|
2017 |
DOI RDF |
|
11 | Leandro Maciel, Rosangela Ballini, Fernando A. C. Gomide |
Evolving Possibilistic Fuzzy Modeling and Application in Value-at-Risk Estimation. |
Granular, Soft and Fuzzy Approaches for Intelligent Systems |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Marios Mavronicolas, Burkhard Monien |
Conditional Value-at-Risk: Structure and Complexity of Equilibria. |
SAGT |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Yuji Yoshida |
A Dynamic Average Value-at-Risk Portfolio Model with Fuzzy Random Variables. |
Fuzzy Sets, Rough Sets, Multisets and Clustering |
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. |
Allerton |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Yuji Yoshida |
Maximization of Returns under an Average Value-at-Risk Constraint in Fuzzy Asset Management. |
KES |
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. |
ICCS |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Eleni Papatzikou, Antony Stathopoulos |
Conditional value-at-risk optimization of traffic control at isolated intersection. |
MT-ITS |
2017 |
DBLP DOI BibTeX RDF |
|
11 | Maurizio Naldi |
Evaluation of customer's losses and value-at-risk under cloud outages. |
TSP |
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. |
DoCEIS |
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. |
SSCI |
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. |
Ann. Oper. Res. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Adam Krzemienowski, Sylwia Szymczyk |
Portfolio optimization with a copula-based extension of conditional value-at-risk. |
Ann. Oper. Res. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Oleksandr Romanko, Helmut Mausser |
Robust scenario-based value-at-risk optimization. |
Ann. Oper. Res. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Marina Resta |
VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self-Organizing Maps. |
Intell. Syst. Account. Finance Manag. |
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. |
SIAM J. Optim. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Laura Spierdijk |
Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails and skewness. |
Comput. Stat. Data Anal. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Minjo Kim, Sangyeol Lee |
Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation. |
Comput. Stat. Data Anal. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Stephen Chan, Saralees Nadarajah, Emmanuel Afuecheta |
An R Package for Value at Risk and Expected Shortfall. |
Commun. Stat. Simul. Comput. |
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. |
Autom. |
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. |
4OR |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Mauro Bernardi, Leopoldo Catania |
Comparison of Value-at-Risk models using the MCS approach. |
Comput. Stat. |
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. |
Appl. Soft Comput. |
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. |
Entropy |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Pan Zhao, Qingxian Xiao |
Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics. |
J. Comput. Appl. Math. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Iakovos Toumazis, Changhyun Kwon |
Worst-Case Conditional Value-at-Risk Minimization for Hazardous Materials Transportation. |
Transp. Sci. |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Helin Zhu, Joshua Q. Hale, Enlu Zhou |
Optimizing Conditional Value-at-Risk via gradient-based adaptive stochastic search. |
WSC |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Aymeric Thibault, Pascal Bondon |
A skewed exponential power distribution to measure value at risk in electricity markets. |
SSP |
2016 |
DBLP DOI BibTeX RDF |
|
11 | Diana Tisheva, Nikolay Netov |
Value at Risk backtesting techniques: Intuitionistic fuzzy approach and InterCriteria Analysis. |
IEEE Conf. on Intelligent Systems |
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. |
FUSION |
2016 |
DBLP BibTeX RDF |
|
11 | Marcelo Brutti Righi, Paulo Sergio Ceretta |
Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions. |
Expert Syst. Appl. |
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. |
Expert Syst. Appl. |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Ralf Östermark |
A parallel algorithm for optimizing the capital structure contingent on maximum value at risk. |
Kybernetes |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Christopher W. Miller, Insoon Yang |
Optimal Control of Conditional Value-at-Risk in Continuous Time. |
CoRR |
2015 |
DBLP BibTeX RDF |
|
11 | Maciej J. Capinski |
Hedging Conditional Value at Risk with options. |
Eur. J. Oper. Res. |
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. |
Eur. J. Oper. Res. |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Jing-Rung Yu, Wan-Jiun Paul Chiou, Da-Ren Mu |
A linearized value-at-risk model with transaction costs and short selling. |
Eur. J. Oper. Res. |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Yingchao Zou, Lean Yu, Kaijian He |
Estimating Portfolio Value at Risk in the Electricity Markets Using an Entropy Optimized BEMD Approach. |
Entropy |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Amir Ahmadi-Javid, Roland P. Malhamé |
Optimal Control of a Multistate Failure-Prone Manufacturing System under a Conditional Value-at-Risk Cost Criterion. |
J. Optim. Theory Appl. |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Yina Li, Fei Ye 0006, Qiang Lin |
Optimal lead time policy for short life cycle products under Conditional Value-at-Risk criterion. |
Comput. Ind. Eng. |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Vu-Linh Nguyen, Van-Nam Huynh |
Using Conditional Copula to Estimate Value-at-Risk in Vietnam's Foreign Exchange Market. |
Econometrics of Risk |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Panisara Phochanachan, Jirakom Sirisrisakulchai, Songsak Sriboonchitta |
Estimating Oil Price Value at Risk Using Belief Functions. |
Econometrics of Risk |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Dan Gorton |
Modeling Fraud Prevention of Online Services Using Incident Response Trees and Value at Risk. |
ARES |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Hasan Arshad Nasir, Algo Carè, Erik Weyer |
A randomised approach to flood control using Value-at-Risk. |
CDC |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Georg Hofmann |
Accelerated portfolio optimization with conditional value-at-risk constraints using a cutting-plane method. |
SpringSim (ANSS) |
2015 |
DBLP BibTeX RDF |
|
11 | Helin Zhu, Enlu Zhou |
Estimation of conditional value-at-risk for input uncertainty with budget allocation. |
WSC |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Xuan Wang, Junling Cai, Kaijian He |
EMD Copula based Value at Risk Estimates for Electricity Markets. |
ITQM |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Sattar Vakili, Qing Zhao 0001 |
Mean-variance and value at risk in multi-armed bandit problems. |
Allerton |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Theo Berger |
Value-at-Risk Forecasts Based on Decomposed Return Series: The Short Run Matters. |
OR |
2015 |
DBLP DOI BibTeX RDF |
|
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. |
WHPCF@SC |
2015 |
DBLP DOI BibTeX RDF |
|
11 | Xunfa Lu, Kin Keung Lai, Liang Liang 0001 |
Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model. |
Ann. Oper. Res. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Yingying Kang, Rajan Batta, Changhyun Kwon |
Value-at-Risk model for hazardous material transportation. |
Ann. Oper. Res. |
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. |
Comput. Optim. Appl. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Vladimir Rankovic, Mikica Drenovak, Boban S. Stojanovic, Zoran Kalinic, Zora Arsovski |
The mean-value at risk static portfolio optimization using genetic algorithm. |
Comput. Sci. Inf. Syst. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Alla R. Kammerdiner, Alex Sprintson, Eduardo L. Pasiliao, Vladimir Boginski |
Optimization of discrete broadcast under uncertainty using conditional value-at-risk. |
Optim. Lett. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Donald Lien, Xiaobin Yang, Keying Ye |
Alternative Approximations to Value-At-Risk: A Comparison. |
Commun. Stat. Simul. Comput. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Georgios Pitselis |
Robust Eligible Own Funds and Value at Risk Under Solvency II System. |
Commun. Stat. Simul. Comput. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Daniel Zhuoyu Long, Jin Qi |
Distributionally robust discrete optimization with Entropic Value-at-Risk. |
Oper. Res. Lett. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Aviv Tamar, Yonatan Glassner, Shie Mannor |
Policy Gradients Beyond Expectations: Conditional Value-at-Risk. |
CoRR |
2014 |
DBLP BibTeX RDF |
|
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. |
Eur. J. Oper. Res. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | R. Terry Rockafellar, Johannes O. Royset, S. I. Miranda |
Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk. |
Eur. J. Oper. Res. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Hamed Soleimani, Kannan Govindan 0002 |
Reverse logistics network design and planning utilizing conditional value at risk. |
Eur. J. Oper. Res. |
2014 |
DBLP DOI BibTeX RDF |
|
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. |
J. Optim. Theory Appl. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Subhash C. Sarin, Hanif D. Sherali, Lingrui Liao |
Minimizing conditional-value-at-risk for stochastic scheduling problems. |
J. Sched. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Hideki Katagiri, Takeshi Uno, Kosuke Kato, Hiroshi Tsuda, Hiroe Tsubaki |
Random fuzzy bilevel linear programming through possibility-based value at risk model. |
Int. J. Mach. Learn. Cybern. |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Peter Tsyurmasto, Michael Zabarankin, Stan Uryasev |
Value-at-risk support vector machine: stability to outliers. |
J. Comb. Optim. |
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. |
CIFEr |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Mohammadhafez Bazrafshan, Nikolaos Gatsis |
Voltage regulation in electricity distribution networks using the conditional value-at-risk. |
GlobalSIP |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Hongqian Wang, Kaijian He, Yingchao Zou |
EMD Based Value at Risk Estimate Algorithm for Electricity Markets. |
CSO |
2014 |
DBLP DOI BibTeX RDF |
|
11 | Wolfgang Boehmer |
Bestimmung des technical-Value at Risk mittels der bedingten Wahrscheinlichkeit, Angriffsbäumen und einer Risikofunktion. |
Sicherheit |
2014 |
DBLP BibTeX RDF |
|
Displaying result #301 - #400 of 548 (100 per page; Change: ) Pages: [ <<][ 1][ 2][ 3][ 4][ 5][ 6][ >>] |
|