Search Results - subject:"average value at risk"

On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization

Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129

Persistent link: https://www.econbiz.de/10015066953

Locally constant model uncertainty risk measure

Obradović, Lazar - 2019

financial position and its average value-at-risk. Optimal portfolio analysis is performed - different optimization criteria lead …

Persistent link: https://www.econbiz.de/10012042148

Locally constant model uncertainty risk measure

Obradović, Lazar - 2019

representation is obtained that gives a connection to both the expected loss of the financial position and its average value-at-risk …

Persistent link: https://www.econbiz.de/10011967405

Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Bianchi, Michele Leonardo - Banca d'Italia - 2014

empirically assess that both the value at risk and the average value at risk are model-dependent and we show that the difference …

Persistent link: https://www.econbiz.de/10011099628

Risk Measures and Portfolio Optimization

Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of Risk and Financial Management 7 (2014) 3, pp. 113-129

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected … Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures …

Persistent link: https://www.econbiz.de/10010945730

Risk measures and portfolio optimization

Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of Risk and Financial Management 7 (2014) 3, pp. 113-129

Persistent link: https://www.econbiz.de/10011843247

Risk measures and portfolio optimization

Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of risk and financial management : JRFM 7 (2014) 3, pp. 113-129

Persistent link: https://www.econbiz.de/10011553110

An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality

Pinelis, Iosif - Volkswirtschaftliche Fakultät, … - 2013

value-at-risk (CVaR) and also as the expected shortfall (ES), average value-at-risk (AVaR), and expected tail loss (ETL). It …

Persistent link: https://www.econbiz.de/10011107455

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - Volkswirtschaftliche Fakultät, … - 2011

We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value …

Persistent link: https://www.econbiz.de/10009278294

Time series analysis for financial market meltdowns

Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan - 2010

There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...

Persistent link: https://www.econbiz.de/10010301728

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