Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this articleMultivariate value at risk and related topics
Author
Abstract
Suggested Citation
DOI: 10.1007/s10479-010-0790-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Patrizia Beraldi & Andrzej Ruszczyński, 2002. "The Probabilistic Set-Covering Problem," Operations Research, INFORMS, vol. 50(6), pages 956-967, December.
- Georg Ch Pflug & Werner Römisch, 2007. "Modeling, Measuring and Managing Risk," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6478, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
- Andre Luiz Diniz & Maria Elvira P. Maceira & Cesar Luis V. Vasconcellos & Debora Dias J. Penna, 2020. "A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning," Annals of Operations Research, Springer, vol. 292(2), pages 649-681, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
- Alois Pichler & Ruben Schlotter, 2020. "Quantification of Risk in Classical Models of Finance," Papers 2004.04397, arXiv.org, revised Feb 2021.
- Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
- Walter J. Gutjahr & Alois Pichler, 2016. "Stochastic multi-objective optimization: a survey on non-scalarizing methods," Annals of Operations Research, Springer, vol. 236(2), pages 475-499, January.
- Murwan Siddig & Yongjia Song, 2022. "Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse," Computational Optimization and Applications, Springer, vol. 81(1), pages 201-250, January.
- Debora Daniela Escobar & Georg Ch. Pflug, 2020. "The distortion principle for insurance pricing: properties, identification and robustness," Annals of Operations Research, Springer, vol. 292(2), pages 771-794, September.
- M A Lejeune, 2008. "Preprocessing techniques and column generation algorithms for stochastically efficient demand," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(9), pages 1239-1252, September.
- Alois Pichler & Alexander Shapiro, 2012. "Uniqueness of Kusuoka Representations," Papers 1210.7257, arXiv.org, revised Feb 2013.
- Miguel A. Lejeune & Andrzej Ruszczyński, 2007. "An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems," Operations Research, INFORMS, vol. 55(2), pages 378-394, April.
- Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
- Prékopa, András & Lee, Jinwook, 2018. "Risk tomography," European Journal of Operational Research, Elsevier, vol. 265(1), pages 149-168.
- Escudero, Laureano F. & Monge, Juan F. & Rodríguez-Chía, Antonio M., 2020. "On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty," European Journal of Operational Research, Elsevier, vol. 287(1), pages 262-279.
- Roorda, Berend & Schumacher, J.M., 2011.
"The strictest common relaxation of a family of risk measures,"
Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.
- Roorda, B. & Schumacher, J.M., 2011. "The strictest common relaxation of a family of risk measures," Other publications TiSEM fe50549a-ca7b-4a03-9318-1, Tilburg University, School of Economics and Management.
- W. Ackooij & X. Warin, 2020. "On conditional cuts for stochastic dual dynamic programming," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 8(2), pages 173-199, June.
- Damiano Rossello & Silvestro Lo Cascio, 2021. "A refined measure of conditional maximum drawdown," Risk Management, Palgrave Macmillan, vol. 23(4), pages 301-321, December.
- Laeven, Roger J.A. & Rosazza Gianin, Emanuela & Zullino, Marco, 2024.
"Law-invariant return and star-shaped risk measures,"
Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 140-153.
- Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Law-Invariant Return and Star-Shaped Risk Measures," Papers 2310.19552, arXiv.org.
- Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
- Guzmics Sándor & Pflug Georg Ch., 2019. "Modelling cascading effects for systemic risk: Properties of the Freund copula," Dependence Modeling, De Gruyter, vol. 7(1), pages 24-44, February.
- Zou, Zhenfeng & Wu, Qinyu & Xia, Zichao & Hu, Taizhong, 2023. "Adjusted Rényi entropic Value-at-Risk," European Journal of Operational Research, Elsevier, vol. 306(1), pages 255-268.
- Andres Mauricio Molina Barreto & Naoyuki Ishimura, 2023. "Remarks on a copula‐based conditional value at risk for the portfolio problem," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(3), pages 150-170, July.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:193:y:2012:i:1:p:49-69:10.1007/s10479-010-0790-2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.