Search Results - subject:"mean conditional value-at-risk (MCVaR)"

Risk-averse distributionally robust optimization for construction waste reverse logistics with a joint chance constraint

Xin, Xu; Zhang, Tao; Xiaoli, Wang; He, Fang; Wu, Lingxiao - In: Computers & operations research : an international journal 173 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015101638

An approach to capital allocation based on mean conditional value-at-risk

Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk 25 (2023) 6, pp. 53-71

Persistent link: https://www.econbiz.de/10014546366

An approach to capital allocation based on mean conditional value-at-risk

Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk : JOR 25 (2023) 6, pp. 53-71

Persistent link: https://www.econbiz.de/10014487234

Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework

Wan, Yang; Clutter, Michael L.; Mei, Bin; Siry, Jacek P. - In: Forest Policy and Economics 50 (2015) C, pp. 118-126

value at risk (M-CVaR) optimization framework, the efficient frontier of the mixed portfolio is dramatically improved after …This study examines the role of U.S. timberland assets in a mixed portfolio from the risk perspective. Under the mean-conditional …

Persistent link: https://www.econbiz.de/10011116807

Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk

Bianchi, Robert John - 2007

mean-variance analysis (MVA) versus mean-conditional value at risk (M-CVaR) investors. The findings reveal that the …

Persistent link: https://www.econbiz.de/10009437793