Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
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DOI: 10.1007/s10479-019-03373-1
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Cited by:
- Marah-Lisanne Thormann & Phan Tu Vuong & Alain B. Zemkoho, 2024. "The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization," Papers 2402.09194, arXiv.org.
- Gaoke Wu & Bo Feng & Libin Guo, 2021. "Optimal Procurement Strategy for Supply Chain with Trade Credit and Backorder under CVaR Criterion," Sustainability, MDPI, vol. 13(18), pages 1-16, September.
- Hirbod Assa & Liyuan Lin & Ruodu Wang, 2022. "Calibrating distribution models from PELVE," Papers 2204.08882, arXiv.org, revised Jun 2023.
- Cheng Peng & Stanislav Uryasev, 2023. "Factor Model of Mixtures," Papers 2301.13843, arXiv.org, revised Mar 2023.
- Katsuhiro Tanaka & Rei Yamamoto, 2023. "Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation," Computational Management Science, Springer, vol. 20(1), pages 1-28, December.
- Malik Zaka Ullah & Fouad Othman Mallawi & Mir Asma & Stanford Shateyi, 2022. "On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model," Mathematics, MDPI, vol. 10(16), pages 1-13, August.
- Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
- Yongqiao Wang & He Ni & Stan Uryasev, 2023. "Buffered-ranking intervals for virtual profit efficiency analysis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(4), pages 1149-1181, December.
- Ali Al-Ameer & Khaled Alshehri, 2021. "Conditional Value-at-Risk for Quantitative Trading: A Direct Reinforcement Learning Approach," Papers 2109.14438, arXiv.org.
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Keywords
Conditional value-at-risk; Buffered probability of exceedance; Superquantile; Density estimation; Portfolio optimization;All these keywords.
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