Stochastic programming models: Value-at-Risk and Conditional Value-at-Risk

Optimization Methods in Finance ◽

10.1017/cbo9780511753886.018 ◽

2010 ◽

pp. 271-278 ◽

Author(s):

Gerard Cornuejols ◽

Reha Tutuncu

Keyword(s):

At Risk ◽

Stochastic Programming ◽

Value At Risk ◽

Programming Models ◽

Conditional Value At Risk

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Conditional value at risk and related linear programming models for portfolio optimization

Annals of Operations Research ◽

10.1007/s10479-006-0142-4 ◽

2006 ◽

Vol 152 (1) ◽

pp. 227-256 ◽

Author(s):

Renata Mansini ◽

Włodzimierz Ogryczak ◽

M. Grazia Speranza

Keyword(s):

At Risk ◽

Linear Programming ◽

Portfolio Optimization ◽

Value At Risk ◽

Programming Models ◽

Conditional Value At Risk

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A conditional value-at risk-based two-stage stochastic programming model for grassland ecosystem restoration—A case study for the three-river source

Scientia Sinica Technologica ◽

10.1360/n092016-00353 ◽

2017 ◽

Vol 47 (3) ◽

pp. 297-305

Author(s):

Min CHEN ◽

GuangQian WANG ◽

YongPing LI ◽

Ya ZHOU

Keyword(s):

At Risk ◽

Stochastic Programming ◽

Value At Risk ◽

Programming Model ◽

Ecosystem Restoration ◽

Conditional Value At Risk ◽

Grassland Ecosystem ◽

Two Stage ◽

Stochastic Programming Model

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Interval-Parameter Conditional Value-at-Risk Two-Stage Stochastic Programming Model for Management of End-of-Life Vehicles

Environmental Modeling & Assessment ◽

10.1007/s10666-018-9648-9 ◽

2019 ◽

Vol 24 (5) ◽

pp. 547-567

Author(s):

Vladimir Simic

Keyword(s):

At Risk ◽

Stochastic Programming ◽

End Of Life ◽

Value At Risk ◽

Programming Model ◽

Conditional Value At Risk ◽

Interval Parameter ◽

Two Stage ◽

Stochastic Programming Model

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Multiperiod portfolio investment using stochastic programming with conditional value at risk

Computers & Operations Research ◽

10.1016/j.cor.2016.11.011 ◽

2017 ◽

Vol 81 ◽

pp. 305-321 ◽

Author(s):

Hung-Hsin Chen ◽

Chang-Biau Yang

Keyword(s):

At Risk ◽

Stochastic Programming ◽

Value At Risk ◽

Conditional Value At Risk ◽

Portfolio Investment

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An interval parameter conditional value-at-risk two-stage stochastic programming model for sustainable regional water allocation under different representative concentration pathways scenarios

Journal of Hydrology ◽

10.1016/j.jhydrol.2018.07.008 ◽

2018 ◽

Vol 564 ◽

pp. 115-124 ◽

Author(s):

Qiang Fu ◽

Linqi Li ◽

Mo Li ◽

Tianxiao Li ◽

Dong Liu ◽

...

Keyword(s):

At Risk ◽

Stochastic Programming ◽

Water Allocation ◽

Value At Risk ◽

Programming Model ◽

Conditional Value At Risk ◽

Interval Parameter ◽

Two Stage ◽

Stochastic Programming Model ◽

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A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

The Journal of Risk ◽

10.21314/jor.2014.281 ◽

2014 ◽

Vol 16 (6) ◽

pp. 3-29 ◽

Author(s):

Samuel Drapeau ◽

Michael Kupper ◽

Antonis Papapantoleon

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Certainty Equivalents

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Intraday Conditional Value at Risk: A Periodic Mixed-Frequency GAS Approach

SSRN Electronic Journal ◽

10.2139/ssrn.3713896 ◽

2019 ◽

Author(s):

Bastian Gribisch ◽

Tobias Eckernkemper

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Mixed Frequency

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A conditional value-at-risk based planning model for integrated energy system with energy storage and renewables

Applied Energy ◽

10.1016/j.apenergy.2021.116971 ◽

2021 ◽

Vol 294 ◽

pp. 116971

Author(s):

Ang Xuan ◽

Xinwei Shen ◽

Qinglai Guo ◽

Hongbin Sun

Keyword(s):

At Risk ◽

Energy Storage ◽

Value At Risk ◽

Energy System ◽

Conditional Value At Risk ◽

Planning Model ◽

Integrated Energy System

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Reserve-energy joint optimal scheduling based on Conditional Value-at-Risk for Islanded Microgrids

2020 IEEE Sustainable Power and Energy Conference (iSPEC) ◽

10.1109/ispec50848.2020.9351024 ◽

2020 ◽

Author(s):

Siliang Liu ◽

Zehuai Liu ◽

Qinhao Li ◽

Wenyang Deng ◽

Lai Zhou

Keyword(s):

At Risk ◽

Value At Risk ◽

Optimal Scheduling ◽

Conditional Value At Risk

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The optimal hourly electricity price considering wind electricity uncertainty based on conditional value at risk

International Journal of Green Energy ◽

10.1080/15435075.2020.1865372 ◽

2021 ◽

pp. 1-13

Author(s):

Haike Qiao ◽

Zijun Zhang ◽

Qin Su

Keyword(s):

At Risk ◽

Value At Risk ◽

Electricity Price ◽

Conditional Value At Risk

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