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

Operations Research ◽

10.1287/opre.1120.1072 ◽

2012 ◽

Vol 60 (4) ◽

pp. 739-756 ◽

Author(s):

So Yeon Chun ◽

Alexander Shapiro ◽

Stan Uryasev

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Estimation ◽

Conditional Value At Risk ◽

Average Value ◽

Average Value At Risk

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Estimation of Average Value at Risk (AVaR) on Sharia Joint-Stock Index Using Glosten, Jaggnathan and Runkle (GJR) model

Proceedings of the 1st International Conference on Mathematics and Mathematics Education (ICMMEd 2020) ◽

10.2991/assehr.k.210508.056 ◽

2021 ◽

Author(s):

Sri Muslihah Bakhtiar ◽

Ermawati ◽

Ilham Syata ◽

Wahidah Alwi ◽

Risnawati Ibnas ◽

...

Keyword(s):

At Risk ◽

Value At Risk ◽

Stock Index ◽

Average Value ◽

Gjr Model ◽

Average Value At Risk

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Dynamic Average Value-at-Risk Allocation on Worst Scenarios in Asset Management

Lecture Notes in Computer Science - Theory and Applications of Models of Computation ◽

10.1007/978-3-030-14812-6_42 ◽

2019 ◽

pp. 674-683

Author(s):

Yuji Yoshida ◽

Satoru Kumamoto

Keyword(s):

At Risk ◽

Asset Management ◽

Value At Risk ◽

Risk Allocation ◽

Average Value ◽

Average Value At Risk

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An average-value-at-risk criterion for Markov decision processes with unbounded costs

Frontiers of Mathematics in China ◽

10.1007/s11464-021-0944-3 ◽

2021 ◽

Author(s):

Qiuli Liu ◽

Wai-Ki Ching ◽

Junyu Zhang ◽

Hongchu Wang

Keyword(s):

At Risk ◽

Markov Decision Processes ◽

Value At Risk ◽

Decision Processes ◽

Average Value ◽

Risk Criterion ◽

Markov Decision ◽

Average Value At Risk

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Return-Maximizing in Fuzzy Portfolio Processes under Average Value-at-Risk Constraints

2018 7th International Conference on Reliability, Infocom Technologies and Optimization (Trends and Future Directions) (ICRITO) ◽

10.1109/icrito.2018.8748375 ◽

2018 ◽

Author(s):

Yuji Yoshida

Keyword(s):

At Risk ◽

Value At Risk ◽

Average Value ◽

Average Value At Risk

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Value-at-risk and conditional Value-at-risk estimation: A comparative study of risk performance for selected Malaysian sectoral indices

2012 International Conference on Statistics in Science, Business and Engineering (ICSSBE) ◽

10.1109/icssbe.2012.6396561 ◽

2012 ◽

Author(s):

Chan Kok Thim ◽

Mohammad Nourani ◽

Yap Voon Choong

Keyword(s):

At Risk ◽

Comparative Study ◽

Value At Risk ◽

Risk Estimation ◽

Conditional Value At Risk

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Markov Decision Processes with Average-Value-at-Risk criteria

Mathematical Methods of Operations Research ◽

10.1007/s00186-011-0367-0 ◽

2011 ◽

Vol 74 (3) ◽

pp. 361-379 ◽

Author(s):

Nicole Bäuerle ◽

Jonathan Ott

Keyword(s):

At Risk ◽

Markov Decision Processes ◽

Value At Risk ◽

Decision Processes ◽

Average Value ◽

Risk Criteria ◽

Markov Decision ◽

Average Value At Risk

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Estimating Value-at-Risk and Average Value-at-Risk Measures Using Composite quantile Regression

Journal of Statistical Sciences ◽

10.18869/acadpub.jss.10.2.185 ◽

2017 ◽

Vol 10 (2) ◽

pp. 185-202

Author(s):

Ali Aghamohammadi ◽

◽

مهدی سجودی ◽

Keyword(s):

At Risk ◽

Quantile Regression ◽

Value At Risk ◽

Risk Measures ◽

Composite Quantile Regression ◽

Average Value ◽

Average Value At Risk

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Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution

The Journal of Risk ◽

10.21314/jor.2005.108 ◽

2005 ◽

Vol 7 (2) ◽

pp. 55-61 ◽

Author(s):

Andriy Andreev ◽

Antti Kanto

Keyword(s):

At Risk ◽

Value At Risk ◽

Degrees Of Freedom ◽

Risk Estimation ◽

Conditional Value At Risk ◽

Student’S T Distribution ◽

Student’S T ◽

Student's T Distribution ◽

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Average Value-at-Risk

A Probability Metrics Approach to Financial Risk Measures ◽

10.1002/9781444392715.ch6 ◽

2011 ◽

pp. 191-251

Keyword(s):

At Risk ◽

Value At Risk ◽

Average Value ◽

Average Value At Risk

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Set-valued average value at risk and its computation

Mathematics and Financial Economics ◽

10.1007/s11579-013-0094-9 ◽

2013 ◽

Vol 7 (2) ◽

pp. 229-246 ◽

Author(s):

Andreas H. Hamel ◽

Birgit Rudloff ◽

Mihaela Yankova

Keyword(s):

At Risk ◽

Value At Risk ◽

Average Value ◽

Average Value At Risk

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