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A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs.
Recent years have seen growing interest in coherent risk measures, especially in Conditional Value-at-Risk (CVaR). Since CVaR is a convex function, it is suitable as an objective for optimization problems when we desire ...
Effects of asset frequency components on value-at-risk in emerging and developed markets
(Sociedade Brasileira de Econometria, 2020)
Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation
(Inst Engineering Technology-iet, 2015-02-19)
This study presents a risk-assessment approach to the reactive power planning problem. Chance-constrained programming is used to model the random equivalent availability of existing reactive power sources for a given ...
Composição de fundo de fundos multimercado: otimização de carteira pelo método de média-cvar
(2009-02-03)
O objetivo do trabalho é demonstrar que a otimização de uma carteira composta por fundos multimercados brasileiros gera melhores resultados quando a medida de risco utilizada é o Conditional Value-at-Risk. Modelos de ...
Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation
(Inst Engineering Technology-iet, 2015)
Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation
(Inst Engineering Technology-iet, 2015)
Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during ...
Aplicação da moderna teoria do Portfólio em ativos não financeiros
(Universidade Estadual Paulista (Unesp), 2015-02-13)
The Markowitz's objective functions, Value-at-Risk and Conditional Value-at-Risk, are largely used tools in the financial Market for portfolio optimization. This paper tries to analyze these functions having as a target ...