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~isPartOf:"Computational economics"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"Stochastic process"
~subject:"coherent risk measures"
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Estimation theory
Stochastic process
coherent risk measures
Risikomaß
66
Risk measure
66
Theorie
41
Theory
41
Portfolio selection
37
Portfolio-Management
37
Risk
29
Risiko
28
Measurement
16
Messung
16
Risikomanagement
16
Risk management
16
Mathematical programming
12
Mathematische Optimierung
12
Robust statistics
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Robustes Verfahren
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Prognoseverfahren
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ARCH-Modell
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Estimation
9
Schätztheorie
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Statistical distribution
9
Statistische Verteilung
9
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9
Volatilität
9
Schätzung
8
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7
Multivariate Verteilung
6
Multivariate distribution
6
Optimization
6
Simulation
6
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5
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5
Value at risk
5
Value-at-risk
5
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4
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17
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Afuecheta, Emmanuel
1
Alvarez, Susana
1
Baixauli, J. Samuel
1
Broadie, Mark
1
Chan, Stephen
1
Chun, So Yeon
1
Dallakyan, Aramayis
1
Delage, Erick
1
Deng, Xue
1
Du, Yiping
1
Fuh, Cheng-Der
1
Georghiou, Angelos
1
Han, Liyan
1
Hansen, James V.
1
Hong, L. Jeff
1
Juneja, Sandeep
1
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1
Li, Jonathan Yu-Meng
1
Liang, Ying
1
Liu, Guangwu
1
Liu, Junyi
1
McDonald, James B.
1
Moallemi, Ciamac C.
1
Nadarajah, Saralees
1
Noyan, Nilay
1
Pang, Jong-shi
1
Poursoltani, Mehran
1
Rudolf, Gábor
1
Shapiro, Alex
1
Shapiro, Alexander
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Street, Alexandre
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Theodossiou, Panayiotis
1
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1
Valladão, Davi Michel
1
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1
Wang, Ren-Her
1
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1
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Computational economics
Operations research
Insurance / Mathematics & economics
43
European journal of operational research : EJOR
34
Journal of risk
23
Journal of econometrics
18
International journal of theoretical and applied finance
15
Risks : open access journal
15
The journal of risk model validation
13
Finance research letters
12
Journal of risk and financial management : JRFM
11
Discussion paper / Tinbergen Institute
10
Journal of banking & finance
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
Quantitative finance
9
Journal of mathematical finance
8
Mathematics of operations research
8
Dresdner Beiträge zu quantitativen Verfahren
7
INFORMS journal on computing : JOC
7
International journal of forecasting
7
Journal of financial econometrics
7
The North American journal of economics and finance : a journal of financial economics studies
7
Computers & operations research : and their applications to problems of world concern ; an international journal
6
International journal of production research
6
Journal of forecasting
6
SFB 649 discussion paper
6
The journal of operational risk
6
Working papers / TSE : WP
6
Applied economics
5
Journal of the Operational Research Society
5
Operations research letters
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
Working papers
5
Working papers series in theoretical and applied economics
5
Annals of operations research
4
Astin bulletin : the journal of the International Actuarial Association
4
Computational Management Science : CMS
4
Econometrics : open access journal
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ECONIS (ZBW)
17
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1
Technical note: risk-averse regret minimization in multistage stochastic programs
Poursoltani, Mehran
;
Delage, Erick
;
Georghiou, Angelos
- In:
Operations research
72
(
2024
)
4
,
pp. 1727-1738
Persistent link: https://www.econbiz.de/10015045703
Saved in:
2
Risk-based robust statistical learning by stochastic difference-of-convex value-function optimization
Liu, Junyi
;
Pang, Jong-shi
- In:
Operations research
71
(
2023
)
2
,
pp. 397-414
Persistent link: https://www.econbiz.de/10014308587
Saved in:
3
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
4
A statistical analysis of global economies using time varying copulas
Afuecheta, Emmanuel
;
Nadarajah, Saralees
;
Chan, Stephen
- In:
Computational economics
58
(
2021
)
4
,
pp. 1167-1194
Persistent link: https://www.econbiz.de/10012697904
Saved in:
5
Nonparanormal structural VAR for non-Gaussian data
Dallakyan, Aramayis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1093-1113
Persistent link: https://www.econbiz.de/10012543263
Saved in:
6
International assets allocation with risk management via multi-stage stochastic programming
Yin, Libo
;
Han, Liyan
- In:
Computational economics
55
(
2020
)
2
,
pp. 385-405
Persistent link: https://www.econbiz.de/10012223636
Saved in:
7
Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.
;
Wang, Yu-Jen
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
Saved in:
8
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay
;
Rudolf, Gábor
- In:
Operations research
66
(
2018
)
2
,
pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
Saved in:
9
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng
- In:
Operations research
66
(
2018
)
6
,
pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
Saved in:
10
Efficient simulation of
value-at-risk
under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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