Search Results - subject:"conditional Value at Risk"

Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation

Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2022

Persistent link: https://www.econbiz.de/10013179421

Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence

Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18

The purpose of this publication is to quantify and compare the market risk on the external government debt of Kazakhstan and Bulgaria in the conditions of COVID-19, the emerging energy crisis, and the coup attempt in the first country. In particular, the authors invest the market risk of...

Persistent link: https://www.econbiz.de/10013359115

Hedging downside risk in agricultural commodities : a novel nonparametric Kernel method

Jiang, Qi; Fan, Yawen - In: Finance research letters 70 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10015194473

Financing a capital-constrained supply chain : equity or debt

He, Xiuli; Sethi, Suresh P.; Xu, Xun; Yan, Nina - In: Transportation research : an international journal 188 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015095187

Do green investments improve portfolio diversification? : evidence from mean conditional value-at-risk optimization

Ben Ameur, Hachmi; Ftiti, Zied; Louhichi, Waël; … - In: International review of financial analysis 94 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014543934

Risk-averse two-stage stochastic programming for the inventory rebalancing of bike-sharing systems

Walker, Awnalisa; Kwon, Soongeol - In: International transactions in operational research : a … 31 (2024) 2, pp. 749-779

Persistent link: https://www.econbiz.de/10014441122

Systemic risk : the impact of COVID-19 on the dual banking system in Indonesia

Nugroho, Muh. Rudi; Kurnia, Akhmad Syakir - In: Macroeconomic risk and growth in the Southeast Asian …, (pp. 83-92). 2024

Persistent link: https://www.econbiz.de/10014458483

Data-driven risk-averse newsvendor problems : developing the CVaR criteria and support vector machines

Chen, Zhen-Yu - In: International journal of production research 62 (2024) 4, pp. 1221-1238

Persistent link: https://www.econbiz.de/10014458529

Advancement of optimal portfolio models with short sales and transaction costs : methodology and effectiveness

Chiou, Wan-jiun Paul; Yu, Jing-Rung - 2024

Persistent link: https://www.econbiz.de/10015050077

Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries

Wu, Fei; Ji, Qiang; Ma, Yan-Ran; Zhang, Dayong - In: Journal of the Asia Pacific economy 29 (2024) 3, pp. 1257-1283

Persistent link: https://www.econbiz.de/10015053452