Search results for "value-at-risk"

Hits ?▲	Authors	Title	Venue	Year	Link
11	Steve Zymler, Daniel Kuhn 0001, Berç Rustem	Worst-Case Value at Risk of Nonlinear Portfolios.	Manag. Sci.	2013	DBLP DOI BibTeX RDF
11	Nikolay Y. Nikolaev, Georgi N. Boshnakov, Robert Zimmer	Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation.	Expert Syst. Appl.	2013	DBLP DOI BibTeX RDF
11	Babak Abbasi, Montserrat Guillen	Bootstrap control charts in monitoring value at risk in insurance.	Expert Syst. Appl.	2013	DBLP DOI BibTeX RDF
11	Hideki Katagiri, Takeshi Uno, Kosuke Kato, Hiroshi Tsuda, Hiroe Tsubaki	Random fuzzy multi-objective linear programming: Optimization of possibilistic value at risk (pVaR).	Expert Syst. Appl.	2013	DBLP DOI BibTeX RDF
11	Nilay Noyan, Gábor Rudolf	Optimization with Multivariate Conditional Value-at-Risk Constraints.	Oper. Res.	2013	DBLP DOI BibTeX RDF
11	Paulo Araújo Santos, M. Isabel Fraga Alves	Forecasting Value-at-Risk with a duration-based POT method.	Math. Comput. Simul.	2013	DBLP DOI BibTeX RDF
11	Pilar Abad, Sonia Benito	A detailed comparison of value at risk estimates.	Math. Comput. Simul.	2013	DBLP DOI BibTeX RDF
11	Hiroshi Takahashi	Analyzing the influence of Value at Risk on financial markets through agent-based modeling.	Int. J. Knowl. Based Intell. Eng. Syst.	2013	DBLP DOI BibTeX RDF
11	Areski Cousin, Elena Di Bernardino	On multivariate extensions of Value-at-Risk.	J. Multivar. Anal.	2013	DBLP DOI BibTeX RDF
11	David L. Olson, Desheng Wu	The impact of distribution on value-at-risk measures.	Math. Comput. Model.	2013	DBLP DOI BibTeX RDF
11	Xinsheng Xu, Zhiqing Meng, Rui Shen 0001	A tri-level programming model based on Conditional Value-at-Risk for three-stage supply chain management.	Comput. Ind. Eng.	2013	DBLP DOI BibTeX RDF
11	Ruodu Wang, Liang Peng, Jingping Yang	Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities.	Finance Stochastics	2013	DBLP DOI BibTeX RDF
11	Krzysztof Piontek	Comparison of Some Chosen Tests of Independence of Value-at-Risk Violations.	Algorithms from and for Nature and Life	2013	DBLP DOI BibTeX RDF
11	Yuji Yoshida	Optimization of value-at-risk portfolios in uncertain lognormal models.	IFSA/NAFIPS	2013	DBLP DOI BibTeX RDF
11	Qi Chen, Rongda Chen	Method of Value-at-Risk and Empirical Research for Shanghai Stock Market.	ITQM	2013	DBLP DOI BibTeX RDF
11	Shao-fang Tang, Ying-yu He	Conditional Value at Risk Methodology under Fuzzy-Stochastic Approach.	ICIC (1)	2013	DBLP DOI BibTeX RDF
11	Yu Zhang 0005, Georgios B. Giannakis	Robust optimal power flow with wind integration using conditional value-at-risk.	SmartGridComm	2013	DBLP DOI BibTeX RDF
11	Ryszard Szupiluk, Piotr Wojewnik, Tomasz Zabkowski	Independent Component Analysis Filtration for Value at Risk Modelling.	ICANN	2013	DBLP DOI BibTeX RDF
11	Kaijian He, Yingchao Zou, Kin Keung Lai	Wavelet Based Approach for Exchange Rate Portfolio Value at Risk Estimation.	BIFE	2013	DBLP DOI BibTeX RDF
11	Hongqian Wang, Kaijian He, Kin Keung Lai	Multivariate EMD-based Portfolio Value at Risk Estimate for Electricity Markets.	BIFE	2013	DBLP DOI BibTeX RDF
11	Kaijian He, Kin Keung Lai, Jerome Yen	Ensemble forecasting of Value at Risk via Multi Resolution Analysis based methodology in metals markets.	Expert Syst. Appl.	2012	DBLP DOI BibTeX RDF
11	Hideki Katagiri, Kosuke Kato, Takashi Hasuike	A random fuzzy minimum spanning tree problem through a possibility-based value at risk model.	Expert Syst. Appl.	2012	DBLP DOI BibTeX RDF
11	András Prékopa	Multivariate value at risk and related topics.	Ann. Oper. Res.	2012	DBLP DOI BibTeX RDF
11	Yongqiao Wang	Robust ν-support vector machine based on worst-case conditional value-at-risk minimization.	Optim. Methods Softw.	2012	DBLP DOI BibTeX RDF
11	Matthew F. Dixon, Jike Chong, Kurt Keutzer	Accelerating Value-at-Risk estimation on highly parallel architectures.	Concurr. Comput. Pract. Exp.	2012	DBLP DOI BibTeX RDF
11	Qian Chen 0018, Richard Gerlach, Zudi Lu	Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution.	Comput. Stat. Data Anal.	2012	DBLP DOI BibTeX RDF
11	David Wozabal	Value-at-Risk optimization using the difference of convex algorithm.	OR Spectr.	2012	DBLP DOI BibTeX RDF
11	Wei Yan	Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints.	Int. J. Control	2012	DBLP DOI BibTeX RDF
11	Jooyong Shim, Yongtae Kim, Jangtaek Lee, Changha Hwang	Estimating value at risk with semiparametric support vector quantile regression.	Comput. Stat.	2012	DBLP DOI BibTeX RDF
11	Pu Huang, Dharmashankar Subramanian	Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints.	Comput. Manag. Sci.	2012	DBLP DOI BibTeX RDF
11	V. Vijay Venu, Ajit Kumar Verma	Enhanced well-being analysis and value-at-risk (VaR) dependent reserve determination in deregulated power systems.	Int. J. Syst. Assur. Eng. Manag.	2012	DBLP DOI BibTeX RDF
11	Joel Weiqiang Goh, Kian Guan Lim, Melvyn Sim, Weina Zhang	Portfolio value-at-risk optimization for asymmetrically distributed asset returns.	Eur. J. Oper. Res.	2012	DBLP DOI BibTeX RDF
11	Frederik Hogenboom, Michael de Winter, Milan Jansen, Alexander Hogenboom, Flavius Frasincar, Uzay Kaymak	Event-based historical Value-at-Risk.	CIFEr	2012	DBLP DOI BibTeX RDF
11	Jan W. Dash	Stressed Value-at-Risk.	CIFEr	2012	DBLP DOI BibTeX RDF
11	Frederik Hogenboom, Michael de Winter, Flavius Frasincar, Alexander Hogenboom	A News-Based Approach for Computing Historical Value-at-Risk.	IS-MiS	2012	DBLP DOI BibTeX RDF
11	Xi Chen 0040, Barry L. Nelson, Kyoung-Kuk Kim	Stochastic kriging for conditional value-at-risk and its sensitivities.	WSC	2012	DBLP DOI BibTeX RDF
11	Hideki Katagiri, Takeshi Uno, Kosuke Kato, Hiroshi Tsuda, Hiroe Tsubaki	Interactive multiobjective random fuzzy programming: Necessity-based value at risk model.	SMC	2012	DBLP DOI BibTeX RDF
11	Krzysztof Piontek	Value-at-Risk Backtesting Procedures Based on Loss Functions: Simulation Analysis of the Power of Tests.	GfKl	2012	DBLP DOI BibTeX RDF
11	Haoxiong Yang, Yanan Fang, Jingjie Zhou, Yongsheng Zhou	Steel Products' Pledging Rate Based on Value-at-Risk Model.	BIFE	2012	DBLP DOI BibTeX RDF
11	Amir Ahmadi-Javid	Application of entropic value-at-risk in machine learning with corrupted input data.	ISSPA	2012	DBLP DOI BibTeX RDF
11	Jeremy Berkowitz, Peter F. Christoffersen, Denis Pelletier	Evaluating Value-at-Risk Models with Desk-Level Data.	Manag. Sci.	2011	DBLP DOI BibTeX RDF
11	Masayuki Kageyama, Takayuki Fujii, Koji Kanefuji, Hiroe Tsubaki	Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes.	Am. J. Comput. Math.	2011	DBLP DOI BibTeX RDF
11	Wlodzimierz Ogryczak, Tomasz Sliwinski	On solving the dual for portfolio selection by optimizing Conditional Value at Risk.	Comput. Optim. Appl.	2011	DBLP DOI BibTeX RDF
11	Xiaolei Sun, Ling Tang, Wan He	Exploring the Value at Risk of Oil-exporting Country Portfolio: An Empirical Analysis from the FSU Region.	ICCS	2011	DBLP DOI BibTeX RDF
11	Chin Wen Cheong	Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets.	Commun. Stat. Simul. Comput.	2011	DBLP DOI BibTeX RDF
11	Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn	Conditional value-at-risk in portfolio optimization: Coherent but fragile.	Oper. Res. Lett.	2011	DBLP DOI BibTeX RDF
11	Nicole Bäuerle, Jonathan Ott	Markov Decision Processes with Average-Value-at-Risk criteria.	Math. Methods Oper. Res.	2011	DBLP DOI BibTeX RDF
11	Shuming Wang, Junzo Watada	Two-stage fuzzy stochastic programming with Value-at-Risk criteria.	Appl. Soft Comput.	2011	DBLP DOI BibTeX RDF
11	Bo Wang 0027, Shuming Wang, Junzo Watada	Fuzzy-Portfolio-Selection Models With Value-at-Risk.	IEEE Trans. Fuzzy Syst.	2011	DBLP DOI BibTeX RDF
11	Javier Arroyo, Gloria González-Rivera, Carlos G. Maté, Antonio Muñoz San Roque	Smoothing methods for histogram-valued time series: an application to value-at-risk.	Stat. Anal. Data Min.	2011	DBLP DOI BibTeX RDF
11	Cigdem Z. Gurgur, Emily K. Newes	Conditional value-at-risk constrained optimisation of a power portfolio.	Int. J. Appl. Decis. Sci.	2011	DBLP DOI BibTeX RDF
11	Ömer L. Gebizlioglu, Birdal Senoglu, Yeliz Mert Kantar	Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution.	J. Comput. Appl. Math.	2011	DBLP DOI BibTeX RDF
11	Xiao-mei Zhu, Qun-yan Zhang, Xin Ren	The research of software reliability measure based on conditional value at risk.	EMEIT	2011	DBLP DOI BibTeX RDF
11	Yuji Yoshida	A Dynamic Value-at-Risk Portfolio Model.	MDAI	2011	DBLP DOI BibTeX RDF
11	Changhyun Kwon	Conditional value-at-risk model for hazardous materials transportation.	WSC	2011	DBLP DOI BibTeX RDF
11	Bo Wang 0027, You Li, Junzo Watada	A New MOPSO to Solve a Multi-Objective Portfolio Selection Model with Fuzzy Value-at-Risk.	KES (3)	2011	DBLP DOI BibTeX RDF
11	Duc Manh Nguyen, Le Thi Hoai An, Pham Dinh Tao	A Cross-Entropy Method for Value-at-Risk Constrained Optimization.	ACIIDS (2)	2011	DBLP DOI BibTeX RDF
11	Apostolos Fertis, Michel Baes, Hans-Jakob Lüthi	The Regularization Aspect of Optimal-Robust Conditional Value-at-Risk Portfolios.	OR	2011	DBLP DOI BibTeX RDF
11	Berend Roorda	An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree.	Ann. Oper. Res.	2010	DBLP DOI BibTeX RDF
11	Michaël Schyns, Yves Crama, G. Hübner	Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach.	Ann. Oper. Res.	2010	DBLP DOI BibTeX RDF
11	Martin Branda	Local stability and differentiability of the Mean-Conditional Value at Risk model defined on the mixed-integer loss functions.	Kybernetika	2010	DBLP BibTeX RDF
11	Churlzu Lim, Hanif D. Sherali, Stan Uryasev	Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization.	Comput. Optim. Appl.	2010	DBLP DOI BibTeX RDF
11	Houduo Qi, Defeng Sun	Correlation stress testing for value-at-risk: an unconstrained convex optimization approach.	Comput. Optim. Appl.	2010	DBLP DOI BibTeX RDF
11	Günter Bamberg, Andreas Neuhierl	On the non-existence of conditional value-at-risk under heavy tails and short sales.	OR Spectr.	2010	DBLP DOI BibTeX RDF
11	Ka Fai Cedric Yiu, Jingzhen Liu, Tak Kuen Siu, Wai-Ki Ching	Optimal portfolios with regime switching and value-at-risk constraint.	Autom.	2010	DBLP DOI BibTeX RDF
11	Minghui Xu, Jianbin Li	Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor models.	J. Syst. Sci. Complex.	2010	DBLP DOI BibTeX RDF
11	Ying Wang, Fuqing Gao	Deviation inequalities for an estimator of the conditional value-at-risk.	Oper. Res. Lett.	2010	DBLP DOI BibTeX RDF
11	Helmut Herwartz, Israel Waichman	A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis.	Comput. Stat.	2010	DBLP DOI BibTeX RDF
11	Chun-Hung Chiu, Tsan-Ming Choi	Optimal Pricing and Stocking Decisions for Newsvendor Problem With Value-at-Risk Consideration.	IEEE Trans. Syst. Man Cybern. Part A	2010	DBLP DOI BibTeX RDF
11	Ann De Schepper, Bart Heijnen	How to estimate the Value at Risk under incomplete information.	J. Comput. Appl. Math.	2010	DBLP DOI BibTeX RDF
11	Wlodzimierz Ogryczak, Tomasz Sliwinski	Efficient Portfolio Optimization with Conditional Value at Risk.	IMCSIT	2010	DBLP DOI BibTeX RDF
11	Fang Chu, Marvin K. Nakayama	Confidence intervals for quantiles and value-at-risk when applying importance sampling.	WSC	2010	DBLP DOI BibTeX RDF
11	Huapu Lu, Xinxin Yu, Jianan Zhu, Xiaoqiang Zhao, Nan Cheng	Value-at-risk forecasting with combined neural network model.	ICNC	2010	DBLP DOI BibTeX RDF
11	Bo Wang 0027, You Li, Junzo Watada	Fuzzy Power System Reliability Model Based on Value-at-Risk.	KES (2)	2010	DBLP DOI BibTeX RDF
11	Wei Chen 0021, Shaohua Tan	Robust Value-at-Risk Optimization with Interval Random Uncertainty Set.	ICTAI (1)	2010	DBLP DOI BibTeX RDF
11	L. Jeff Hong, Guangwu Liu	Simulating Sensitivities of Conditional Value at Risk.	Manag. Sci.	2009	DBLP DOI BibTeX RDF
11	Rui Jorge Almeida, Uzay Kaymak	Probabilistic fuzzy systems in value-at-risk estimation.	Intell. Syst. Account. Finance Manag.	2009	DBLP DOI BibTeX RDF
11	V. A. F. Dallagnol, J. van den Berg, L. Mous	Portfolio management using value at risk: A comparison between genetic algorithms and particle swarm optimization.	Int. J. Intell. Syst.	2009	DBLP DOI BibTeX RDF
11	Shushang Zhu, Masao Fukushima	Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management.	Oper. Res.	2009	DBLP DOI BibTeX RDF
11	Dean Fantazzini	The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study.	Comput. Stat. Data Anal.	2009	DBLP DOI BibTeX RDF
11	Shuming Wang, Junzo Watada, Witold Pedrycz	Value-at-Risk-Based Two-Stage Fuzzy Facility Location Problems.	IEEE Trans. Ind. Informatics	2009	DBLP DOI BibTeX RDF
11	Markus Haas	Value-at-Risk via mixture distributions reconsidered.	Appl. Math. Comput.	2009	DBLP DOI BibTeX RDF
11	Arthur Charpentier, Abder Oulidi	Estimating allocations for Value-at-Risk portfolio optimization.	Math. Methods Oper. Res.	2009	DBLP DOI BibTeX RDF
11	Akiko Takeda	Generalization performance of nu-support vector classifier based on conditional value-at-risk minimization.	Neurocomputing	2009	DBLP DOI BibTeX RDF
11	Tao Pham Dinh, Nam Nguyen Canh, Hoai An Le Thi	DC programming and DCA for globally solving the value-at-risk.	Comput. Manag. Sci.	2009	DBLP DOI BibTeX RDF
11	Chang-Chun Lin	Comments on "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem".	Eur. J. Oper. Res.	2009	DBLP DOI BibTeX RDF
11	Akiko Takeda, Takafumi Kanamori	A robust approach based on conditional value-at-risk measure to statistical learning problems.	Eur. J. Oper. Res.	2009	DBLP DOI BibTeX RDF
11	Yuji Yoshida	An estimation model of value-at-risk portfolio under uncertainty.	Fuzzy Sets Syst.	2009	DBLP DOI BibTeX RDF
11	Shuming Wang, Junzo Watada	Value-at-risk-based fuzzy stochastic optimization problems.	FUZZ-IEEE	2009	DBLP DOI BibTeX RDF
11	Modjtaba Khalidji, Mohammad Zeiaee, Ali Taei, Mohammad Reza Jahed-Motlagh, Hamid Khaloozadeh	Dynamically Weighted Continuous Ant Colony Optimization for Bi-Objective Portfolio Selection Using Value-at-Risk.	Asia International Conference on Modelling and Simulation	2009	DBLP DOI BibTeX RDF
11	Xiaoliang Chen, Kin Keung Lai, Jerome Yen	A Statistical Neural Network Approach for Value-at-Risk Analysis.	CSO (2)	2009	DBLP DOI BibTeX RDF
11	Hongmei Peng	Selecting Optimal Portfolio on the Basis of Value at Risk.	CSO (2)	2009	DBLP DOI BibTeX RDF
11	Zheng-ying Cai, Rong Xin, Renbin Xiao	Value at Risk Management in Multi-period Supply Inventory Coordination.	ICEBE	2009	DBLP DOI BibTeX RDF
11	Bo Wang 0027, Shuming Wang, Junzo Watada	Fuzzy Portfolio Selection based on Value-at-Risk.	SMC	2009	DBLP DOI BibTeX RDF
11	Min Jiang, Zhiqing Meng, Gengui Zhou	A New Support Vector Machine Model Based on the Discrete Conditional Value-at-Risk.	CIS (1)	2009	DBLP DOI BibTeX RDF
11	Jianwei Gao, Lufang Liu	Mean Conditional Value-at-Risk Model for Portfolio Optimization.	BIFE	2009	DBLP DOI BibTeX RDF
11	Karthik Natarajan, Dessislava Pachamanova, Melvyn Sim	Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization.	Manag. Sci.	2008	DBLP DOI BibTeX RDF
11	Bernardo da Veiga, Felix Chan, Michael McAleer	Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk.	Math. Comput. Simul.	2008	DBLP DOI BibTeX RDF
11	Jingguo Wang, Abhijit Chaudhury, H. Raghav Rao	Research Note - A Value-at-Risk Approach to Information Security Investment.	Inf. Syst. Res.	2008	DBLP DOI BibTeX RDF
11	Du Xu, Uzay Kaymak	Value-at-risk estimation by using probabilistic fuzzy systems.	FUZZ-IEEE	2008	DBLP DOI BibTeX RDF