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

Zero-sum stochastic games with the average-value-at-risk criterion

Liu, Qiuli; Ching, Wai Ki; Guo, Xianping - In: Top : an official journal of the Spanish Society of … 31 (2023) 3, pp. 618-647

Persistent link: https://www.econbiz.de/10014384732

Non-concave portfolio optimization with average value-at-risk

Zhang, Fangyuan - In: Mathematics and financial economics 17 (2023) 2, pp. 203-237

Persistent link: https://www.econbiz.de/10014328920

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

Aumann-Serrano index of risk in portfolio optimization

Li, Tiantian; Kim, Young Shin; Fan, Qi; Zhu, Fumin - In: Mathematical methods of operations research : ZOR 94 (2021) 2, pp. 197-217

Persistent link: https://www.econbiz.de/10012793510

Foster-Hart optimization for currency portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10012054888

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

A service of the

zbw