Add to ORKGLP computable risk measures can be solved using LP solver and become more popular recently. CVaR is a LP computable risk measure, it is the tightest convex approximation of VaR. In this report, we also focus on WCVaR model, which is the weighted sum of CVaR measures at difference confidence levels. We study the theoretical properties of CVaR and WCVaR, develop the algorithm WCVaRMin to solve WCVaR problem, and test the performance of risk models and algorithm using real life data.Bachelor of Science in Mathematical Science
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantag...
This paper applies risk management methodologies to optimization of a portfolio of hedge funds (fund...
Several polyhedral risk measures have been recently introduced leading to Linear Programming (LP) mo...
This thesis presents the Conditional Value-at-Risk concept and combines an analysis that covers its ...
12th International Conference on Learning and Intelligent Optimization (LION) -- JUN 10-15, 2018 -- ...
An important aspect in portfolio optimization is the quantification of risk. Variance was the starti...
In times of great insecurity and turbulence on every major stock exchange, it is evident that contro...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
Abstract We evaluate conditional value-at-risk (CVaR) as a risk measure in data-driven portfolio opt...
<em> In order to achieve commercial banks liquidity, safety and profitability objective requirements...
Risk measures are subject to many scientific papers and monographs published on financial portfolio ...
AbstractThe theme of this paper relates to solving portfolio selection problems using linear program...
The Value at Risk (VaR) is a very important risk measure for practitioners, supervisors and research...
It is unrealistic to formulate the problems arising under uncertain environments as deterministic op...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantag...
This paper applies risk management methodologies to optimization of a portfolio of hedge funds (fund...
Several polyhedral risk measures have been recently introduced leading to Linear Programming (LP) mo...
This thesis presents the Conditional Value-at-Risk concept and combines an analysis that covers its ...
12th International Conference on Learning and Intelligent Optimization (LION) -- JUN 10-15, 2018 -- ...
An important aspect in portfolio optimization is the quantification of risk. Variance was the starti...
In times of great insecurity and turbulence on every major stock exchange, it is evident that contro...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
Abstract We evaluate conditional value-at-risk (CVaR) as a risk measure in data-driven portfolio opt...
<em> In order to achieve commercial banks liquidity, safety and profitability objective requirements...
Risk measures are subject to many scientific papers and monographs published on financial portfolio ...
AbstractThe theme of this paper relates to solving portfolio selection problems using linear program...
The Value at Risk (VaR) is a very important risk measure for practitioners, supervisors and research...
It is unrealistic to formulate the problems arising under uncertain environments as deterministic op...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantag...
This paper applies risk management methodologies to optimization of a portfolio of hedge funds (fund...