Shchestyuk, Nataliya; Tyshchenko, Serhii Option pricing and stochastic optimization. (English) Zbl 07819633 Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 651-665 (2022). MSC: 91G20 93E20 91G70 PDFBibTeX XMLCite \textit{N. Shchestyuk} and \textit{S. Tyshchenko}, Springer Proc. Math. Stat. 408, 651--665 (2022; Zbl 07819633) Full Text: DOI
Xu, Chunhui PVaR: a new risk measure for financial investments. (English) Zbl 1504.91337 Kijima, Kyoichi (ed.) et al., Systems research II. Essays in honor of Yasuhiko Takahara on systems management theory and practice. Singapore: Springer. Transl. Syst. Sci. 27, 181-198 (2022). MSC: 91G70 PDFBibTeX XMLCite \textit{C. Xu}, Transl. Syst. Sci. 27, 181--198 (2022; Zbl 1504.91337) Full Text: DOI
Eratalay, M. Hakan Financial econometrics and systemic risk. (English) Zbl 07615529 Mercangöz, Burcu Adıgüzel (ed.), Handbook of research on emerging theories, models, and applications of financial econometrics. Cham: Springer. 65-91 (2021). MSC: 62P05 PDFBibTeX XMLCite \textit{M. H. Eratalay}, in: Handbook of research on emerging theories, models, and applications of financial econometrics. Cham: Springer. 65--91 (2021; Zbl 07615529) Full Text: DOI
Ivanov, Sergey V.; Ignatov, Aleksei N. Sample approximations of bilevel stochastic programming problems with probabilistic and quantile criteria. (English) Zbl 1489.90080 Pardalos, Panos (ed.) et al., Mathematical optimization theory and operations research. 20th international conference, MOTOR 2021, Irkutsk, Russia, July 5–10, 2021. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 12755, 221-234 (2021). MSC: 90C15 PDFBibTeX XMLCite \textit{S. V. Ivanov} and \textit{A. N. Ignatov}, Lect. Notes Comput. Sci. 12755, 221--234 (2021; Zbl 1489.90080) Full Text: DOI
Melnikov, Alexander; Wan, Hongxi CVaR hedging in defaultable jump-diffusion markets. (English) Zbl 1479.91409 Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 309-333 (2021). MSC: 91G20 91G05 91G70 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{H. Wan}, Springer Proc. Math. Stat. 358, 309--333 (2021; Zbl 1479.91409) Full Text: DOI
Chiou, Wan-Jiun Paul; Yu, Jing-Rung Advancement of optimal portfolio models with short-sales and transaction costs: methodology and effectiveness. (English) Zbl 1454.91217 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3649-3674 (2021). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{W.-J. P. Chiou} and \textit{J.-R. Yu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3649--3674 (2021; Zbl 1454.91217) Full Text: DOI
Tsai, Henghsiu; Ho, Hwai-Chung; Chen, Hung-Yin Non-parametric inference on risk measures for integrated returns. (English) Zbl 1451.91232 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2485-2497 (2021). MSC: 91G70 62P05 62G05 PDFBibTeX XMLCite \textit{H. Tsai} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2485--2497 (2021; Zbl 1451.91232) Full Text: DOI
Chen, Cathy Yi-Hsuan; Chiang, Thomas C. An empirical investigation of the long memory effect on the relation of downside risk and stock returns. (English) Zbl 1454.91243 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2107-2140 (2021). MSC: 91G15 91G70 PDFBibTeX XMLCite \textit{C. Y. H. Chen} and \textit{T. C. Chiang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2107--2140 (2021; Zbl 1454.91243) Full Text: DOI
Chen, Sheng-Syan; Lee, Cheng Few; Shresth, Keshab Hedge ratio and time series analysis. (English) Zbl 1454.91280 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431-483 (2021). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{S.-S. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431--483 (2021; Zbl 1454.91280) Full Text: DOI
Naderi, Mehrdad; Jamalizadeh, Ahad; Wang, Wan-Lun; Lin, Tsung-I Evaluating risk measures using the normal mean-variance Birnbaum-Saunders distribution. (English) Zbl 07616803 Bekker, Andriëtte (ed.) et al., Computational and methodological statistics and biostatistics. Contemporary essays in advancement. Cham: Springer. Emerg. Top. Stat. Biostat., 187-209 (2020). MSC: 62P10 PDFBibTeX XMLCite \textit{M. Naderi} et al., in: Computational and methodological statistics and biostatistics. Contemporary essays in advancement. Cham: Springer. 187--209 (2020; Zbl 07616803) Full Text: DOI
Dong, Hui; Nakayama, Marvin K. A tutorial on quantile estimation via Monte Carlo. (English) Zbl 07240087 Tuffin, Bruno (ed.) et al., Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1–6, 2018. Cham: Springer. Springer Proc. Math. Stat. 324, 3-30 (2020). MSC: 65C05 PDFBibTeX XMLCite \textit{H. Dong} and \textit{M. K. Nakayama}, Springer Proc. Math. Stat. 324, 3--30 (2020; Zbl 07240087) Full Text: DOI
Hu, Bowen; Makarov, Roman N. Optimal selection of assets and portfolios. (English) Zbl 1414.62419 Kilgour, D. Marc (ed.) et al., Recent advances in mathematical and statistical methods. IV AMMCS international conference, Waterloo, Canada, August 20–25, 2017. Cham: Springer. Springer Proc. Math. Stat. 259, 509-519 (2018). MSC: 62P05 62M10 91B30 PDFBibTeX XMLCite \textit{B. Hu} and \textit{R. N. Makarov}, Springer Proc. Math. Stat. 259, 509--519 (2018; Zbl 1414.62419) Full Text: DOI
Galeotti, Marcello; Rabitti, Giovanni; Vannucci, Emanuele The rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence. (English) Zbl 1397.62531 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4–6, 2018. Cham: Springer (ISBN 978-3-319-89823-0/hbk; 978-3-319-89824-7/ebook). 363-367 (2018). MSC: 62P20 62G30 PDFBibTeX XMLCite \textit{M. Galeotti} et al., in: Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4--6, 2018. Cham: Springer. 363--367 (2018; Zbl 1397.62531) Full Text: DOI
De Luca, Giovanni; Rivieccio, Giorgia; Corsaro, Stefania A copula-based quantile model. (English) Zbl 1397.62177 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4–6, 2018. Cham: Springer (ISBN 978-3-319-89823-0/hbk; 978-3-319-89824-7/ebook). 311-315 (2018). MSC: 62H05 62P20 91G70 PDFBibTeX XMLCite \textit{G. De Luca} et al., in: Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4--6, 2018. Cham: Springer. 311--315 (2018; Zbl 1397.62177) Full Text: DOI
Karaś, Marta; Szczepaniak, Witold Measuring systemic risk with CoVaR using a stock market data based approach. (English) Zbl 1426.91305 Jajuga, Krzysztof (ed.) et al., Contemporary trends and challenges in finance. Proceedings from the 2nd Wroclaw international conference in finance, Wroclaw, Poland, September 27–28, 2016. Cham: Springer. Springer Proc. Bus. Econ., 135-143 (2017). MSC: 91G70 PDFBibTeX XMLCite \textit{M. Karaś} and \textit{W. Szczepaniak}, in: Contemporary trends and challenges in finance. Proceedings from the 2nd Wroclaw international conference in finance, Wroclaw, Poland, September 27--28, 2016. Cham: Springer. 135--143 (2017; Zbl 1426.91305) Full Text: DOI
Guégan, Dominique; Hassani, Bertrand; Li, Kehan Uncertainty in historical value-at-risk: an alternative quantile-based risk measure. (English) Zbl 1383.91004 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2016. Selected papers based on the presentations at the conference, Paris, France, March 30 – April 1, 2016. Cham: Springer (ISBN 978-3-319-50233-5/hbk; 978-3-319-50234-2/ebook). 119-128 (2017). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{D. Guégan} et al., in: Mathematical and statistical methods for actuarial sciences and finance. MAF 2016. Selected papers based on the presentations at the conference, Paris, France, March 30 -- April 1, 2016. Cham: Springer. 119--128 (2017; Zbl 1383.91004) Full Text: DOI Link
Mavronicolas, Marios; Monien, Burkhard Conditional value-at-risk: structure and complexity of equilibria. (English) Zbl 1403.91381 Bilò, Vittorio (ed.) et al., Algorithmic game theory. 10th international symposium, SAGT 2017, L’Aquila, Italy, September 12–14, 2017. Proceedings. Cham: Springer (ISBN 978-3-319-66699-0/pbk; 978-3-319-66700-3/ebook). Lecture Notes in Computer Science 10504, 131-143 (2017). MSC: 91G70 91A05 68Q17 PDFBibTeX XMLCite \textit{M. Mavronicolas} and \textit{B. Monien}, Lect. Notes Comput. Sci. 10504, 131--143 (2017; Zbl 1403.91381) Full Text: DOI
Dokka, Trivikram; Zemkoho, Alain; Gupta, Sonali Sen; Nobibon, Fabrice Talla Pricing toll roads under uncertainty. (English) Zbl 1432.90034 Goerigk, Marc (ed.) et al., 16th workshop on algorithmic approaches for transportation modelling, optimization, and systems, ATMOS’16, Aarhus, Denmark, August 25, 2016. Proceedings. Wadern: Schloss Dagstuhl – Leibniz Zentrum für Informatik. OASIcs – OpenAccess Ser. Inform. 54, Article 4, 14 p. (2016). MSC: 90B20 90C17 90B10 91B24 PDFBibTeX XMLCite \textit{T. Dokka} et al., OASIcs -- OpenAccess Ser. Inform. 54, Article 4, 14 p. (2016; Zbl 1432.90034) Full Text: DOI
Soloviev, Alexey I. Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market. (English) Zbl 1418.91613 Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume IX. The 9th international conference on game theory and management as part of the European conference on game theory (SING11-GTM 2015), St. Petersburg, Russia, July 8–10, 2015. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg State University. 276-286 (2016). MSC: 91G70 91A05 60G40 PDFBibTeX XMLCite \textit{A. I. Soloviev}, in: Contributions to game theory and management. Volume IX. The 9th international conference on game theory and management as part of the European conference on game theory (SING11-GTM 2015), St. Petersburg, Russia, July 8--10, 2015. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg State University. 276--286 (2016; Zbl 1418.91613)
Kibzun, Andrey I.; Ivanov, Sergey V. Convergence of discrete approximations of stochastic programming problems with probabilistic criteria. (English) Zbl 1391.90444 Kochetov, Yury (ed.) et al., Discrete optimization and operations research. 9th international conference, DOOR 2016, Vladivostok, Russia, September 19–23, 2016. Proceedings. Cham: Springer (ISBN 978-3-319-44913-5/pbk; 978-3-319-44914-2/ebook). Lecture Notes in Computer Science 9869, 525-537 (2016). MSC: 90C15 PDFBibTeX XMLCite \textit{A. I. Kibzun} and \textit{S. V. Ivanov}, Lect. Notes Comput. Sci. 9869, 525--537 (2016; Zbl 1391.90444) Full Text: DOI
Embrechts, Paul; Jakobsons, Edgars Dependence uncertainty for aggregate risk: examples and simple bounds. (English) Zbl 1356.91103 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 395-417 (2016). MSC: 91G70 62G32 62P05 PDFBibTeX XMLCite \textit{P. Embrechts} and \textit{E. Jakobsons}, in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 395--417 (2016; Zbl 1356.91103) Full Text: DOI
Nguyen, Vu-Linh; Huynh, Van-Nam Using conditional copula to estimate value-at-risk in Vietnam’s foreign exchange market. (English) Zbl 1407.62177 Huynh, Van-Nam (ed.) et al., Econometrics of risk. Cham: Springer. Stud. Comput. Intell. 583, 471-482 (2015). MSC: 62H05 91G70 62M10 62P05 PDFBibTeX XMLCite \textit{V.-L. Nguyen} and \textit{V.-N. Huynh}, Stud. Comput. Intell. 583, 471--482 (2015; Zbl 1407.62177) Full Text: DOI
Phochanachan, Panisara; Sirisrisakulchai, Jirakom; Sriboonchitta, Songsak Estimating oil price value at risk using belief functions. (English) Zbl 1418.91612 Huynh, Van-Nam (ed.) et al., Econometrics of risk. Cham: Springer. Stud. Comput. Intell. 583, 377-389 (2015). MSC: 91G70 PDFBibTeX XMLCite \textit{P. Phochanachan} et al., Stud. Comput. Intell. 583, 377--389 (2015; Zbl 1418.91612) Full Text: DOI
Zrazhevsky, Greg; Golodnikov, Alex; Uryasev, Stan; Zrazhevsky, Alex Advanced statistical tools for modelling of composition and processing parameters for alloy development. (English) Zbl 1369.62320 Migdalas, Athanasios (ed.) et al., Optimization, control, and applications in the information age. In honor of Panos M. Pardalos’s 60th birthday. Selected papers based on the presentations at the conference, Chalkidiki, Greece, June 15–20, 2014. Cham: Springer (ISBN 978-3-319-18566-8/hbk; 978-3-319-18567-5/ebook). Springer Proceedings in Mathematics & Statistics 130, 393-413 (2015). MSC: 62P30 74A30 62J05 62J02 PDFBibTeX XMLCite \textit{G. Zrazhevsky} et al., Springer Proc. Math. Stat. 130, 393--413 (2015; Zbl 1369.62320) Full Text: DOI
Gomes, M. Ivette; Brilhante, M. Fátima; Pestana, Dinis A mean-of-order-\(p\) class of value-at-risk estimators. (English) Zbl 1329.62229 Kitsos, Christos P. (ed.) et al., Theory and practice of risk assessment. Proceedings of the 5th conference on risk analysis, ICRA 5, Tomar, Portugal, May 30 – June 1, 2013. Cham: Springer (ISBN 978-3-319-18028-1/pbk; 978-3-319-18029-8/ebook). Springer Proceedings in Mathematics & Statistics 136, 305-320 (2015). MSC: 62G32 PDFBibTeX XMLCite \textit{M. I. Gomes} et al., Springer Proc. Math. Stat. 136, 305--320 (2015; Zbl 1329.62229) Full Text: DOI
del Castillo, Joan; Padilla, Maria; Serra, Isabel Comparison of techniques for extreme values using financial data. (English) Zbl 1436.62491 Gilli, Manfred (ed.) et al., Proceedings of COMPSTAT 2014 – 21st international conference on computational statistics, Geneva, Switzerland, August 19–22, 2014. The Hague: International Statistical Institute (ISI); The Hague: International Association for Statistical Computing (IASC). 45-52 (2014). MSC: 62P05 62G32 62-08 PDFBibTeX XMLCite \textit{J. del Castillo} et al., in: Proceedings of COMPSTAT 2014 -- 21st international conference on computational statistics, Geneva, Switzerland, August 19--22, 2014. The Hague: International Statistical Institute (ISI); The Hague: International Association for Statistical Computing (IASC). 45--52 (2014; Zbl 1436.62491)
Chouaf, Bénamar; Pergamenchtchikov, Serguei Optimal investment with bounded VaR for power utility functions. (English) Zbl 1418.91459 Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 103-116 (2014). MSC: 91G10 93E20 91G70 PDFBibTeX XMLCite \textit{B. Chouaf} and \textit{S. Pergamenchtchikov}, in: Inspired by finance. The Musiela Festschrift. Cham: Springer. 103--116 (2014; Zbl 1418.91459) Full Text: DOI arXiv
Bramante, Riccardo; Zappa, Diego Fitting financial returns distributions: a mixture normality approach. (English) Zbl 1418.91608 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 81-88 (2014). MSC: 91G70 PDFBibTeX XMLCite \textit{R. Bramante} and \textit{D. Zappa}, in: Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10--12, 2012. Cham: Springer. 81--88 (2014; Zbl 1418.91608) Full Text: DOI
Li, Li; Li, Jingpeng; Qin, Quande; Cheng, Shi Fuzzy chance-constrained project portfolio selection model based on credibility theory. (English) Zbl 1356.91082 Wen, Zhenkun (ed.) et al., Foundations of intelligent systems. Proceedings of the eighth international conference on intelligent systems and knowledge engineering, ISKE 2013, Shenzhen, China, November 20–23, 2013. 2 volume set. Berlin: Springer (ISBN 978-3-642-54923-6/pbk). Advances in Intelligent Systems and Computing 277, 731-743 (2014). MSC: 91G10 90C70 91G70 PDFBibTeX XMLCite \textit{L. Li} et al., Adv. Intell. Syst. Comput. 277, 731--743 (2014; Zbl 1356.91082) Full Text: DOI
Kondo, Hiroki; Saito, Shingo Applicability of Bayesian methods for loss ratio estimation. (English) Zbl 1326.62207 Wakayama, Masato (ed.) et al., The impact of applications on mathematics. Proceedings of the Forum of Mathematics for Industry, “Math-for-Industry 2013”, Fukuoka, Japan, November 4–8, 2013. Tokyo: Springer (ISBN 978-4-431-54906-2/hbk; 978-4-431-54907-9/ebook). Mathematics for Industry 1, 283-288 (2014). MSC: 62P05 62F15 91G70 91B30 PDFBibTeX XMLCite \textit{H. Kondo} and \textit{S. Saito}, Math. Ind. (Tokyo) 1, 283--288 (2014; Zbl 1326.62207) Full Text: DOI
Caeiro, Frederico; Gomes, M. Ivette A class of semi-parametric probability weighted moment estimators. (English) Zbl 1407.62116 Oliveira, Paulo Eduardo (ed.) et al., Recent developments in modeling and applications in statistics. Selected papers based on the presentations at the 18th annual congress of the Portuguese Statistical Society, S. Pedro do Sul, Portugal, September 29 – October 2, 2010. Studies in Theoretical and Applied Statistics. Selected Papers of the Statistical Societies. Berlin: Springer. 139-147 (2013). MSC: 62G07 62E15 60G70 PDFBibTeX XMLCite \textit{F. Caeiro} and \textit{M. I. Gomes}, in: Recent developments in modeling and applications in statistics. Selected papers based on the presentations at the 18th annual congress of the Portuguese Statistical Society, S. Pedro do Sul, Portugal, September 29 -- October 2, 2010. Berlin: Springer. 139--147 (2013; Zbl 1407.62116) Full Text: DOI
Fraga Alves, M. I.; Santos, P. Araújo DPOT methodology: an application to value-at-risk. (English) Zbl 1407.62383 Oliveira, Paulo Eduardo (ed.) et al., Recent developments in modeling and applications in statistics. Selected papers based on the presentations at the 18th annual congress of the Portuguese Statistical Society, S. Pedro do Sul, Portugal, September 29 – October 2, 2010. Studies in Theoretical and Applied Statistics. Selected Papers of the Statistical Societies. Berlin: Springer. 81-88 (2013). MSC: 62P05 62E15 91G70 PDFBibTeX XMLCite \textit{M. I. Fraga Alves} and \textit{P. A. Santos}, in: Recent developments in modeling and applications in statistics. Selected papers based on the presentations at the 18th annual congress of the Portuguese Statistical Society, S. Pedro do Sul, Portugal, September 29 -- October 2, 2010. Berlin: Springer. 81--88 (2013; Zbl 1407.62383) Full Text: DOI
Konyukhovskiy, Pavel V.; Malova, Alexandra S. Game-theoretic models of collaboration among economic agents. (English) Zbl 1289.91040 Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume VI. The 6th international conference game theory and management (GTM 2012), June 27–29, 2012, St. Petersburg, Russia. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg University (ISBN 978-5-9924-0080-9/pbk). 211-221 (2013). MSC: 91A40 91A12 91B06 91G70 PDFBibTeX XMLCite \textit{P. V. Konyukhovskiy} and \textit{A. S. Malova}, in: Contributions to game theory and management. Volume VI. The 6th international conference game theory and management (GTM 2012), June 27--29, 2012, St. Petersburg, Russia. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg University. 211--221 (2013; Zbl 1289.91040)
Ogryczak, Włodzimierz Robust decisions under risk for imprecise probabilities. (English) Zbl 1418.91173 Ermoliev, Yuri (ed.) et al., Managing safety of heterogeneous systems. Decisions under uncertainties and risks. Contributions based on selected presentations at the 4th workshop on coping with uncertainty, CwU 2009, Laxenburg, Austria, December 14–16, 2009. Heidelberg: Springer. Lect. Notes Econ. Math. Syst. 658, 51-66 (2012). MSC: 91B06 91G10 91B30 PDFBibTeX XMLCite \textit{W. Ogryczak}, Lect. Notes Econ. Math. Syst. 658, 51--66 (2012; Zbl 1418.91173) Full Text: DOI
Chakrabarty, Arijit; Guo, Xin Optimal stopping times with different information levels and with time uncertainty. (English) Zbl 1303.60031 Zhang, Tusheng (ed.) et al., Stochastic analysis and applications to finance. Essays in honour of Jia-an Yan on the occasion of his 70th years birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4383-57-8/hbk). Interdisciplinary Mathematical Sciences 13, 19-38 (2012). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 62L15 91B16 91B30 PDFBibTeX XMLCite \textit{A. Chakrabarty} and \textit{X. Guo}, Interdiscip. Math. Sci. 13, 19--38 (2012; Zbl 1303.60031)
Fiori, Anna Maria; Gianin, Emanuela Rosazza; Spasova, Anna Risk measures and Pareto style tails. (English) Zbl 1238.91083 Perna, Cira (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the MAF2010 conference, Ravello, Italy, April 7–9, 2010. Milano: Springer (ISBN 978-88-470-2341-3/hbk). 183-191 (2012). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{A. M. Fiori} et al., in: Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the MAF 2010 conference, Ravello, Italy, April 7--9, 2010. Milano: Springer. 183--191 (2012; Zbl 1238.91083)
Iskra, Daniel Value at risk – securities of portfolio optimization. A geometric Brownian motion case. (English) Zbl 1470.91243 Caristi, Giuseppe (ed.), Proceedings of the 1st summer school quantitative methods for economic agricultural-food and enviromental sciences, Castiglione di Sicilia, Italy, September 22–24, 2010. Palermo: Circolo Matematico di Palermo. Suppl. Rend. Circ. Mat. Palermo (2) 83, 199-208 (2011). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{D. Iskra}, Suppl. Rend. Circ. Mat. Palermo (2) 83, 199--208 (2011; Zbl 1470.91243) Full Text: Link
Kawas, Ban; Laumanns, Marco; Pratsini, Eleni; Prestwich, Steve Risk-averse production planning. (English) Zbl 1233.90141 Brafman, Ronen I. (ed.) et al., Algorithmic decision theory. Second international conference, ADT 2011, Piscataway, NJ, USA, October 26–28, 2011. Proceedings. Berlin: Springer (ISBN 978-3-642-24872-6/pbk). Lecture Notes in Computer Science 6992. Lecture Notes in Artificial Intelligence, 108-120 (2011). MSC: 90B30 90B50 90C57 90C15 91B30 PDFBibTeX XMLCite \textit{B. Kawas} et al., Lect. Notes Comput. Sci. 6992, 108--120 (2011; Zbl 1233.90141) Full Text: DOI
Mittnik, Stefan; Paterlini, Sandra; Yener, Tina Modeling operational risk: estimation and effects of dependencies. (English) Zbl 1436.62498 Lechevallier, Yves (ed.) et al., Proceedings of COMPSTAT’2010. 19th international conference on computational statistics, Paris, France, August 22–27, 2010. Keynote, invited and contributed papers. Heidelberg: Physica Verlag. 541-548 (2010). MSC: 62P05 62-08 91G70 PDFBibTeX XMLCite \textit{S. Mittnik} et al., in: Proceedings of COMPSTAT'2010. 19th international conference on computational statistics, Paris, France, August 22--27, 2010. Keynote, invited and contributed papers. Heidelberg: Physica Verlag. 541--548 (2010; Zbl 1436.62498) Full Text: DOI
Preda, Vasile; Dedu, Silvia; Ciumara, Roxana Restricted optimal retention in stop-loss reinsurance under VaR risk measure. (English) Zbl 1231.91228 Kallel, Ali (ed.) et al., Mathematical methods, computational techniques, intelligent systems. 12th WSEAS international conference (MAMECTIS ’10), Kantaoui, Sousse, Tunia, May 3–6, 2010. Athens: World Scientific and Engineering Academy and Society (WSEAS) (ISBN 978-960-474-191-5/CD-ROM; 978-960-474-188-5/hbk). Electrical and Computer Engineering Series. A Series of Reference Books and Textbooks, 143-145 (2010). MSC: 91B30 PDFBibTeX XMLCite \textit{V. Preda} et al., in: Mathematical methods, computational techniques, intelligent systems. 12th WSEAS international conference (MAMECTIS '10), Kantaoui, Sousse, Tunia, May 3--6, 2010. Athens: World Scientific and Engineering Academy and Society (WSEAS). 143--145 (2010; Zbl 1231.91228)
Kusuoka, Shigeo A certain limit of iterated conditional tail expectation. (English) Zbl 1194.91095 Kusuoka, Shigeo (ed.) et al., Advances in mathematical economics. Vol. 13. Tokyo: Springer (ISBN 978-4-431-99489-3/hbk; 978-4-431-99490-9/ebook). Advances in Mathematical Economics 13, 99-111 (2010). MSC: 91B30 60B05 PDFBibTeX XMLCite \textit{S. Kusuoka}, Adv. Math. Econ. 13, 99--111 (2010; Zbl 1194.91095) Full Text: DOI
Peng, Jin Average value at risk in fuzzy risk analysis. (English) Zbl 1189.91079 Cao, Bingyuan (ed.) et al., Fuzzy information and engineering. Vol. 2. Proceedings of the third international conference on fuzzy information and engineering (ICFIE 2009), Chongqing, China, September 26–29, 2009. Berlin: Springer (ISBN 978-3-642-03663-7/pbk; 978-3-642-03664-4/ebook). Advances in Intelligent and Soft Computing 62, 1303-1313 (2009). MSC: 91B30 60A86 PDFBibTeX XMLCite \textit{J. Peng}, Adv. Intell. Soft Comput. 62, 1303--1313 (2009; Zbl 1189.91079) Full Text: DOI
Chen, Bryant; Hsu, William W. Y.; Kao, Ming-Yang Fast accurate algorithms for tail conditional expectation. (English) Zbl 1181.91091 Simos, Theodore E. (ed.) et al., Numerical analysis and applied mathematics. International conference on numerical analysis and applied mathematics 2009, Rethymno, Crete, Greece, September 18–22, 2009. Vol. 1. Melville, NY: American Institute of Physics (AIP) (ISBN 978-0-7354-0705-3/hbk; 978-0-7354-0709-1/set). AIP Conference Proceedings 1168, 1, 501-504 (2009). MSC: 91B30 91G60 PDFBibTeX XMLCite \textit{B. Chen} et al., AIP Conf. Proc. 1168, 501--504 (2009; Zbl 1181.91091) Full Text: DOI
Dong, Wen; Peng, Jin Mean-VaR models and algorithms for fuzzy portfolio selection. (English) Zbl 1187.91197 Cai, Zhihua (ed.) et al., Computational intelligence and intelligent systems. 4th international symposium on intelligence computation and applications, ISICA 2009, Huangshi, China, October 23–25, 2009. Proceedings. Berlin: Springer (ISBN 978-3-642-04961-3/pbk; 978-3-642-04962-0/ebook). Communications in Computer and Information Science 51, 313-319 (2009). MSC: 91G10 91B30 90C70 PDFBibTeX XMLCite \textit{W. Dong} and \textit{J. Peng}, Commun. Comput. Inf. Sci. 51, 313--319 (2009; Zbl 1187.91197) Full Text: DOI
Klüppelberg, Claudia; Pergamenshchikov, Serguei Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions. (English) Zbl 1197.91177 Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 245-273 (2009). Reviewer: Youssef El-Khatib (Al-Ain) MSC: 91G10 91B70 93E20 49L20 49K45 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{S. Pergamenshchikov}, Radon Ser. Comput. Appl. Math. 8, 245--273 (2009; Zbl 1197.91177) Full Text: arXiv
Kaminski, Bogumil; Czupryna, Marcin; Szapiro, Tomasz On conditional value-at-risk based goal programming portfolio selection procedure. (English) Zbl 1176.90544 Barichard, Vincent (ed.) et al., Multiobjective programming and goal programming. Theoretical results and practical applications. Selected papers based on the presentations at the international conference on multiobjective programming and goal programming (MOP/GP 2006), Tours, France, June 12–14, 2006. Berlin: Springer (ISBN 978-3-540-85645-0/pbk; 978-3-540-85646-7/ebook). Lecture Notes in Economics and Mathematical Systems 618, 243-252 (2009). MSC: 90C29 PDFBibTeX XMLCite \textit{B. Kaminski} et al., Lect. Notes Econ. Math. Syst. 618, 243--252 (2009; Zbl 1176.90544) Full Text: DOI
Christoffersen, Peter Value-at-risk models. (English) Zbl 1178.91075 Andersen, Torben G. (ed.) et al., Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer (ISBN 978-3-540-71296-1/hbk; 978-3-540-71297-8/ebook). 753-766 (2009). MSC: 91B30 91G70 PDFBibTeX XMLCite \textit{P. Christoffersen}, in: Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer. 753--766 (2009; Zbl 1178.91075) Full Text: DOI
Embrechts, Paul; Furrer, Hansjörg; Kaufmann, Roger Different kinds of risk. (English) Zbl 1178.91077 Andersen, Torben G. (ed.) et al., Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer (ISBN 978-3-540-71296-1/hbk; 978-3-540-71297-8/ebook). 729-751 (2009). MSC: 91B30 91G40 91-02 PDFBibTeX XMLCite \textit{P. Embrechts} et al., in: Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer. 729--751 (2009; Zbl 1178.91077) Full Text: DOI
Talay, Denis Model risk in finance: some modeling and numerical analysis issues. (English) Zbl 1180.91324 Bensoussan, Alain (ed.) et al., Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance. Amsterdam: Elsevier/North-Holland (ISBN 978-0-444-51879-8/hbk). Handbook of Numerical Analysis 15, 3-28 (2009). MSC: 91G80 91B30 91G60 91G70 91A15 PDFBibTeX XMLCite \textit{D. Talay}, Handb. Numer. Anal. 15, 3--28 (2009; Zbl 1180.91324) Full Text: DOI
He, Kaijian; Lai, Kin Keung; Guu, Sy-Ming; Zhang, Jinlong A wavelet based multi scale VaR model for agricultural market. (English) Zbl 1160.90523 Le Thi, Hoai An (ed.) et al., Modelling, computation and optimization in information systems and management sciences. Second international conference MCO 2008, Metz, France - Luxembourg, September 8–10, 2008. Proceedings. Berlin: Springer (ISBN 978-3-540-87476-8/pbk). Communications in Computer and Information Science 14, 429-438 (2008). MSC: 90B50 62P30 62M10 PDFBibTeX XMLCite \textit{K. He} et al., Commun. Comput. Inf. Sci. 14, 429--438 (2008; Zbl 1160.90523) Full Text: DOI
Resta, Marina; Santini, Stefano Robust hedging of electricity retail portfolios with CVaR constraints. (English) Zbl 1160.90614 Le Thi, Hoai An (ed.) et al., Modelling, computation and optimization in information systems and management sciences. Second international conference MCO 2008, Metz, France - Luxembourg, September 8–10, 2008. Proceedings. Berlin: Springer (ISBN 978-3-540-87476-8/pbk). Communications in Computer and Information Science 14, 264-272 (2008). MSC: 90C15 91B28 91B30 PDFBibTeX XMLCite \textit{M. Resta} and \textit{S. Santini}, Commun. Comput. Inf. Sci. 14, 264--272 (2008; Zbl 1160.90614) Full Text: DOI
Takeda, Akiko A modified algorithm for nonconvex support vector classification. (English) Zbl 1157.68434 Gammerman, A. (ed.), Artificial intelligence and applications. Machine learning. As part of the 26th IASTED international multi-conference on applied informatics. Calgary: International Association of Science and Technology for Development (IASTED); Anaheim, CA: Acta Press (ISBN 978-0-88986-710-9/CD-ROM). 46-51 (2008). MSC: 68T05 90C26 90C20 PDFBibTeX XMLCite \textit{A. Takeda}, in: Artificial intelligence and applications. Machine learning. As part of the 26th IASTED international multi-conference on applied informatics. Calgary: International Association of Science and Technology for Development (IASTED); Anaheim, CA: Acta Press. 46--51 (2008; Zbl 1157.68434)
Wong, M. H. Conditional value-at-risk under ellipsoidal uncertainties. (English) Zbl 1178.91083 Costantino, M. (ed.) et al., Computational finance and its applications III (Computional Finance 2008), Cádiz, Spain, May 27–29, 2008. Southampton: WIT Press (ISBN 978-1-84564-111-5/hbk). WIT Transactions on Information and communication Technologies 41, 217-226 (2008). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{M. H. Wong}, in: Computational finance and its applications III (Computional Finance 2008), Cádiz, Spain, May 27--29, 2008. Southampton: WIT Press. 217--226 (2008; Zbl 1178.91083)
Hamel, Andreas H.; Rudloff, Birgit Continuity and finite-valuedness of set-valued risk measures. (English) Zbl 1178.91079 Tammer, Christiane (ed.) et al., Festschrift in celebration of Prof. Dr. Wilfried Grecksch’s 60th birthday. Aachen: Shaker Verlag (ISBN 978-3-8322-7500-6/pbk). Berichte aus der Mathematik, 49-64 (2008). MSC: 91B30 46E30 PDFBibTeX XMLCite \textit{A. H. Hamel} and \textit{B. Rudloff}, in: Festschrift in celebration of Prof. Dr. Wilfried Grecksch's 60th birthday. Aachen: Shaker Verlag. 49--64 (2008; Zbl 1178.91079)
Specht, Katja; Winker, Peter Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix. (English) Zbl 1142.91567 Kontoghiorghes, Erricos J. (ed.) et al., Computational methods in financial engineering. Essays in honour of Manfred Gilli. Berlin: Springer (ISBN 978-3-540-77957-5/hbk). 73-94 (2008). MSC: 91G10 91B30 90C59 PDFBibTeX XMLCite \textit{K. Specht} and \textit{P. Winker}, in: Computational methods in financial engineering. Essays in honour of Manfred Gilli. Berlin: Springer. 73--94 (2008; Zbl 1142.91567)
Alentorn, Amadeo; Markose, Sheri Generalized extreme value distribution and extreme economic value at risk (EE-VaR). (English) Zbl 1142.91578 Kontoghiorghes, Erricos J. (ed.) et al., Computational methods in financial engineering. Essays in honour of Manfred Gilli. Berlin: Springer (ISBN 978-3-540-77957-5/hbk). 47-71 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Alentorn} and \textit{S. Markose}, in: Computational methods in financial engineering. Essays in honour of Manfred Gilli. Berlin: Springer. 47--71 (2008; Zbl 1142.91578)
Cocozza, Rosa; Di Lorenzo, Emilia; Orlando, Abina; Sibillo, Marilena A liability adequacy test for mathematical provision. (English) Zbl 1137.91491 Perna, Cira (ed.) et al., Mathematical and statistical methods in insurance and finance. Papers presented at the MAF2006 conference, Salerno, Italy, October 11–13, 2006. Milan: Springer (ISBN 978-88-470-0703-1/hbk). 75-81 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{R. Cocozza} et al., in: Mathematical and statistical methods in insurance and finance. Papers presented at the MAF2006 conference, Salerno, Italy, October 11--13, 2006. Milano: Springer. 75--81 (2008; Zbl 1137.91491)
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D. Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. (English) Zbl 1223.90084 Ceragioli, F. (ed.) et al., System modeling and optimization. Proceedings of the 22nd IFIP TC7 conference, July 18–22, 2005, Turin, Italy. New York, NY: Springer (ISBN 0-387-32774-6/hbk). IFIP, International Federation for Information Processing 199, 219-226 (2006). MSC: 90C90 91G10 PDFBibTeX XMLCite \textit{R. Hochreiter} et al., IFIP, Int. Fed. Inf. Process. 199, 219--226 (2006; Zbl 1223.90084) Full Text: DOI
Uryasev, Stan; Trindade, A. Alexandre Combining model and test data for optimal determination of percentiles and allowables: CVaR regression approach. II. (English) Zbl 1120.62090 Kurdila, Andrew J. (ed.) et al., Robust optimization-directed design. Papers based on the 1st Conference on Robust Optimization-Directed Design (RODD), Shalimar, FL, USA, April 19–21, 2004. New York, NY: Springer (ISBN 0-387-28263-7/hbk). Nonconvex Optimization and Its Applications 81, 209-246 (2006). MSC: 62N05 90B25 62J05 65C05 PDFBibTeX XMLCite \textit{S. Uryasev} and \textit{A. A. Trindade}, Nonconvex Optim. Appl. 81, 209--246 (2006; Zbl 1120.62090) Full Text: DOI
Uryasev, Stan; Trindade, A. Alexandre Combining model and test data for optimal determination of percentiles and allowables: CVaR regression approach. I. (English) Zbl 1119.62100 Kurdila, Andrew J. (ed.) et al., Robust optimization-directed design. Papers based on the 1st Conference on Robust Optimization-Directed Design (RODD), Shalimar, FL, USA, April 19–21, 2004. New York, NY: Springer (ISBN 0-387-28263-7/hbk). Nonconvex Optimization and Its Applications 81, 179-207 (2006). MSC: 62N05 62J05 90B25 65C05 PDFBibTeX XMLCite \textit{S. Uryasev} and \textit{A. A. Trindade}, Nonconvex Optim. Appl. 81, 179--207 (2006; Zbl 1119.62100) Full Text: DOI
Filar, Jerzy A.; Kang, Boda Two types of risk. (English) Zbl 1114.91060 Yan, Houmin (ed.) et al., Stochastic processes, optimization, and control theory: applications in financial engineering, queueing networks, and manufacturing systems. A volume in honor of Suresh Sethi on the occasion of his 60th birthday. New York, NY: Springer (ISBN 0-387-33770-9/hbk). International Series in Operations Research & Management Science 94, 109-140 (2006). MSC: 91B30 PDFBibTeX XMLCite \textit{J. A. Filar} and \textit{B. Kang}, Int. Ser. Oper. Res. Manag. Sci. 94, 109--140 (2006; Zbl 1114.91060) Full Text: DOI
Čerbáková, Jana Worst-case VaR and CVaR. (English) Zbl 1103.62102 Haasis, Hans-Dietrich (ed.) et al., Operations research proceedings 2005. Selected papers of the annual international conference of the German Operations Research Society (GOR), Bremen, Germany, September 7–9, 2005. Berlin: Springer (ISBN 3-540-32537-9/pbk). 817-822 (2006). MSC: 62P05 90C47 91B30 PDFBibTeX XMLCite \textit{J. Čerbáková}, in: Operations research proceedings 2005. Selected papers of the annual international conference of the German Operations Research Society (GOR), Bremen, Germany, September 7--9, 2005. Berlin: Springer. 817--822 (2006; Zbl 1103.62102)
Molins, Jordi; Vives, Eduard Long range Ising model for credit risk modeling. (English) Zbl 1181.91266 Garrido, Pedro L. (ed.) et al., Modeling cooperative behavior in the social sciences. 8th Granada lectures, Granada, Spain, 7–11 February 2005. Melville, NY: American Institute of Physics (AIP) (ISBN 0-7354-0266-3/hbk). AIP Conference Proceedings 779, 156-161 (2005). MSC: 91B80 91G40 PDFBibTeX XMLCite \textit{J. Molins} and \textit{E. Vives}, AIP Conf. Proc. 779, 156--161 (2005; Zbl 1181.91266) Full Text: arXiv
Xue, Honggang; Xu, Chengxian; Hu, Chunping An algorithm for portfolio’s value at risk based on principal factor analysis. (English) Zbl 1120.91318 Megiddo, Nimrod (ed.) et al., Algorithmic applications in management. First international conference, AAIM 2005, Xian, China, June 22–25, 2005. Proceedings. Berlin: Springer (ISBN 3-540-26224-5/pbk). Lecture Notes in Computer Science 3521, 381-391 (2005). MSC: 91B28 PDFBibTeX XMLCite \textit{H. Xue} et al., Lect. Notes Comput. Sci. 3521, 381--391 (2005; Zbl 1120.91318) Full Text: DOI
Depczynski, Uwe Numerical optimization of financial portfolios. (English) Zbl 1058.91033 Chui, Charles K. (ed.) et al., Approximation theory X. Wavelets, splines, and applications. Papers from the 10th international symposium, St. Louis, Mo, USA, March 26–29, 2001. Nashville, TN: Vanderbilt University Press (ISBN 0-8265-1416-2/hbk). Innovations in Applied Mathematics, 241-260 (2002). MSC: 91B28 65K05 PDFBibTeX XMLCite \textit{U. Depczynski}, in: Approximation theory X. Wavelets, splines, and applications. Papers from the 10th international symposium, St. Louis, Mo, USA, March 26--29, 2001. Nashville, TN: Vanderbilt University Press. 241--260 (2002; Zbl 1058.91033)
Delbaen, Freddy Coherent risk measures on general probability spaces. (English) Zbl 1020.91032 Sandmann, Klaus (ed.) et al., Advances in finance and stochastics. Essays in honour of Dieter Sondermann. Berlin: Springer. 1-37 (2002). Reviewer: Georgy Osipenko (St.Peterburg) MSC: 91B30 91A10 91B82 PDFBibTeX XMLCite \textit{F. Delbaen}, in: Advances in finance and stochastics. Essays in honour of Dieter Sondermann. Berlin: Springer. 1--37 (2002; Zbl 1020.91032)
Kusuoka, Shigeo On law invariant coherent risk measures. (English) Zbl 1010.60030 Kusuoka, S. (ed.) et al., Advances in mathematical economics. Vol. 3. Tokyo: Springer. Adv. Math. Econ. 3, 83-95 (2001). Reviewer: Gheorghe Stoica (Saint John NB) MSC: 60F17 60A99 91B30 91B28 PDFBibTeX XMLCite \textit{S. Kusuoka}, Adv. Math. Econ. 3, 83--95 (2001; Zbl 1010.60030)
Uryasev, Stanislav; Rockafellar, R. Tyrrell Conditional value-at-risk: optimization approach. (English) Zbl 0989.91052 Uryasev, Stanislav (ed.) et al., Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20-22, 2000. Dordrecht: Kluwer Academic Publishers. Appl. Optim. 54, 411-435 (2001). MSC: 91G70 91G10 90C15 PDFBibTeX XMLCite \textit{S. Uryasev} and \textit{R. T. Rockafellar}, Appl. Optim. 54, 411--435 (2001; Zbl 0989.91052)
Puelz, Amy V. Value-at-risk based portfolio optimization. (English) Zbl 1016.91059 Uryasev, Stanislav (ed.) et al., Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20-22, 2000. Dordrecht: Kluwer Academic Publishers. Appl. Optim. 54, 279-302 (2001). MSC: 91G10 91B30 90C15 PDFBibTeX XMLCite \textit{A. V. Puelz}, Appl. Optim. 54, 279--302 (2001; Zbl 1016.91059)
Kreinin, Alexander Nonlinear risk of linear instruments. (English) Zbl 0989.91048 Uryasev, Stanislav (ed.) et al., Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20-22, 2000. Dordrecht: Kluwer Academic Publishers. Appl. Optim. 54, 169-182 (2001). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Kreinin}, Appl. Optim. 54, 169--182 (2001; Zbl 0989.91048)
Kibzun, Andrey; Lepp, Riho Discrete approximation in quantile problem of Portfolio selection. (English) Zbl 0990.91016 Uryasev, Stanislav (ed.) et al., Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20-22, 2000. Dordrecht: Kluwer Academic Publishers. Appl. Optim. 54, 121-135 (2001). Reviewer: Yu.S.Mishura (Kyïv) MSC: 91G10 PDFBibTeX XMLCite \textit{A. Kibzun} and \textit{R. Lepp}, Appl. Optim. 54, 121--135 (2001; Zbl 0990.91016)
Tibiletti, Luisa Incremental Value-at-Risk: Traps and misinterpretations. (English) Zbl 0994.91027 Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 355-364 (2001). MSC: 91B28 PDFBibTeX XMLCite \textit{L. Tibiletti}, in: Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5--7, 2000. Basel: Birkhäuser. 355--364 (2001; Zbl 0994.91027)
Pflug, Georg Ch. Some remarks on the value-at-risk and the conditional value-at-risk. (English) Zbl 0994.91031 Uryasev, Stanislav P. (ed.), Probabilistic constrained optimization. Methodology and applications. Dordrecht: Kluwer Academic Publishers. Nonconvex Optim. Appl. 49, 272-281 (2000). Reviewer: W.Stadje (Osnabrück) MSC: 91B30 91B28 60E05 60E15 PDFBibTeX XMLCite \textit{G. Ch. Pflug}, Nonconvex Optim. Appl. 49, 272--281 (2000; Zbl 0994.91031)
Uryasev, S. Introduction to the theory of probabilistic functions and percentiles (value-at-risk). (English) Zbl 0991.90093 Uryasev, Stanislav P. (ed.), Probabilistic constrained optimization. Methodology and applications. Dordrecht: Kluwer Academic Publishers. Nonconvex Optim. Appl. 49, 1-25 (2000). MSC: 90C15 90C31 91B28 91B30 PDFBibTeX XMLCite \textit{S. Uryasev}, Nonconvex Optim. Appl. 49, 1--25 (2000; Zbl 0991.90093)
Khindanova, Irina N.; Rachev, Svetlozar T. Value at risk: Recent advances. (English) Zbl 0978.91050 Anastassiou, George (ed.), Handbook of analytic-computational methods in applied mathematics. Boca Raton, FL: Chapman & Hall/CRC. 801-858 (2000). Reviewer: Alexandra Rodkina (Mona) MSC: 91B30 91B82 PDFBibTeX XMLCite \textit{I. N. Khindanova} and \textit{S. T. Rachev}, in: Handbook of analytic-computational methods in applied mathematics. Boca Raton, FL: Chapman \& Hall/CRC. 801--858 (2000; Zbl 0978.91050)
Breckling, Jens; Eberlein, Ernst; Kokic, Philip A tailored suit for risk management: Hyperbolic model. (English) Zbl 0967.91024 Franke, Jürgen (ed.) et al., Measuring risk in complex stochastic systems. New York, NY: Springer. Lect. Notes Stat. 147, 189-202 (2000). Reviewer: Elias Shiu (Iowa City) MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{J. Breckling} et al., Lect. Notes Stat. 147, 189--202 (2000; Zbl 0967.91024)
Sylla, Alpha; Villa, Christophe Measuring implied volatility surface risk using principal components analysis. (English) Zbl 0961.62093 Franke, Jürgen (ed.) et al., Measuring risk in complex stochastic systems. New York, NY: Springer. Lect. Notes Stat. 147, 131-148 (2000). Reviewer: Josef Steinebach (Marburg) MSC: 62P05 91B28 62H25 PDFBibTeX XMLCite \textit{A. Sylla} and \textit{C. Villa}, Lect. Notes Stat. 147, 131--148 (2000; Zbl 0961.62093)
Härdle, Wolfgang; Stahl, Gerhard Backtesting beyond VaR. (English) Zbl 0971.91032 Franke, Jürgen (ed.) et al., Measuring risk in complex stochastic systems. New York, NY: Springer. Lect. Notes Stat. 147, 119-130 (2000). Reviewer: Maxim Sokolov (Chicago) MSC: 91B30 91B82 PDFBibTeX XMLCite \textit{W. Härdle} and \textit{G. Stahl}, Lect. Notes Stat. 147, 119--130 (2000; Zbl 0971.91032)
Cumperayot, Phornchanok J.; Danielsson, Jon; Jorgensen, Bjorn N.; de Vries, Caspar G. On the (ir)relevancy of value-at-risk regulation. (English) Zbl 0978.91048 Franke, Jürgen (ed.) et al., Measuring risk in complex stochastic systems. New York, NY: Springer. Lect. Notes Stat. 147, 99-117 (2000). Reviewer: Peter Kischka (Jena) MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{P. J. Cumperayot} et al., Lect. Notes Stat. 147, 99--117 (2000; Zbl 0978.91048)
Lehrbass, Frank A simple approach to country risk. (English) Zbl 0960.91041 Franke, Jürgen (ed.) et al., Measuring risk in complex stochastic systems. New York, NY: Springer. Lect. Notes Stat. 147, 33-67 (2000). Reviewer: Josef Steinebach (Marburg) MSC: 91B28 91B74 PDFBibTeX XMLCite \textit{F. Lehrbass}, Lect. Notes Stat. 147, 33--67 (2000; Zbl 0960.91041)
Overbeck, Ludger Allocation of economic capital in loan portfolios. (English) Zbl 0958.91019 Franke, Jürgen (ed.) et al., Measuring risk in complex stochastic systems. New York, NY: Springer. Lect. Notes Stat. 147, 1-17 (2000). Reviewer: Martin Schweizer (Berlin) MSC: 91G40 91G10 PDFBibTeX XMLCite \textit{L. Overbeck}, Lect. Notes Stat. 147, 1--17 (2000; Zbl 0958.91019)
Huschens, Stefan Confidence intervals for the Value-at-Risk. (English) Zbl 0956.62106 Bol, Georg (ed.) et al., Risk measurement, econometrics and neural networks. Papers from the 6th workshop on econometrics held in Karlsruhe, Germany, March 19-21, 1997. Heidelberg: Physica-Verlag. Contributions to Economics. 233-244 (1998). Reviewer: R.E.Maiboroda (Kyïv) MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{S. Huschens}, in: Risk measurement, econometrics and neural networks. Papers from the 6th workshop on econometrics held in Karlsruhe, Germany, March 19--21, 1997. Heidelberg: Physica-Verlag. 233--244 (1998; Zbl 0956.62106)
Ridder, Thomas Basics of statistical VaR-estimation. (English) Zbl 0956.62105 Bol, Georg (ed.) et al., Risk measurement, econometrics and neural networks. Papers from the 6th workshop on econometrics held in Karlsruhe, Germany, March 19-21, 1997. Heidelberg: Physica-Verlag. Contributions to Economics. 161-187 (1998). Reviewer: R.E.Maiboroda (Kyïv) MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{T. Ridder}, in: Risk measurement, econometrics and neural networks. Papers from the 6th workshop on econometrics held in Karlsruhe, Germany, March 19--21, 1997. Heidelberg: Physica-Verlag. 161--187 (1998; Zbl 0956.62105)
Tsevas, G.; Panaretos, J. Extreme value theory and its applications to financial risk management. (English) Zbl 0944.91033 Lipitakis, Elias A. (ed.), HERCMA ’98. Proceedings of the 4th Hellenic-European conference on Computer mathematics and its applications. Athens, Greece, September 24-26, 1998. In 2 vols. Athens: LEA, Athens University of Economics and Business, Department of Informatics. 509-516 (1998). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{G. Tsevas} and \textit{J. Panaretos}, in: HERCMA '98. Proceedings of the 4th Hellenic-European conference on Computer mathematics and its applications. Athens, Greece, September 24--16, 1998. In 2 vols. Athens: LEA, Athens University of Economics and Business, Department of Informatics. 509--516 (1998; Zbl 0944.91033)
Gamrowski, Bertrand; Rachev, Svetlozar Testing the validity of value-at-risk measures. (English) Zbl 0858.90010 Heyde, C. C. (ed.) et al., Athens conference on applied probability and time series analysis, Athens, Greece, March 22–26, 1995. Vol. I: Applied probability. In honor of J. M. Gani. Berlin: Springer. Lect. Notes Stat., Springer-Verlag. 114, 307-320 (1996). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{B. Gamrowski} and \textit{S. Rachev}, in: Athens conference on applied probability and time series analysis, Athens, Greece, March 22--26, 1995. Vol. I: Applied probability. In honor of J. M. Gani. Berlin: Springer. 307--320 (1996; Zbl 0858.90010)