Search results for "value-at-risk"

Hits ?▲	Authors	Title	Venue	Year	Link
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