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Found 85 Documents (Results 1–85)

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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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).
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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
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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
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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
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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).
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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
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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
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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
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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
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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
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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
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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
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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).
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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
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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).
MSC:  60G40 62L15 91B16 91B30
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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
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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
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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
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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
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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
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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
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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
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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
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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).
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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).
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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).
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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
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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
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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
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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
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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
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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).
MSC:  91G10
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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
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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).
MSC:  91B30 91B82
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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).
MSC:  62P05 91B28
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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).
MSC:  62P05 91B28
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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
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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
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