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~subject:"Estimation theory"
~subject:"value-at-risk"
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value-at-risk
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Embrechts, Paul
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Operations research
Journal of risk
25
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24
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19
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15
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13
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12
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Econometric Institute Report
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International journal of forecasting
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1
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
2
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
3
Maximizing a class of utility functions over the vertices of a polytope
Atamtürk, Alper
;
Gómez, Andrés
- In:
Operations research
65
(
2017
)
2
,
pp. 433-445
Persistent link: https://www.econbiz.de/10011673166
Saved in:
4
On the measurement of economic tail risk
Kou, Steven
;
Peng, Xianhua
- In:
Operations research
64
(
2016
)
5
,
pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
Saved in:
5
Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff
;
Juneja, Sandeep
;
Liu, Guangwu
- In:
Operations research
65
(
2017
)
3
,
pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
Saved in:
6
Risk estimation via regression
Broadie, Mark
;
Du, Yiping
;
Moallemi, Ciamac C.
- In:
Operations research
63
(
2015
)
5
,
pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
Saved in:
7
Conditional
value-at-risk
and average
value-at-risk
: estimation and asymptotics
Chun, So Yeon
;
Shapiro, Alex
;
Uryasev, Stan
- In:
Operations research
60
(
2012
)
4
,
pp. 739-756
Persistent link: https://www.econbiz.de/10009627501
Saved in:
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