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Algorithms for Optimization of Value-at-Risk
16 references·14 citing·26 second hop
Algorithms for Optimization of Value-at-Risk (2002)Algorithms for Optimization of Value-at-R…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingValue-at-risk in portfolio optimization: properties and computational approach (2005)Value-at-risk in portfolio op…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskWorldwide asset and liability modeling (1998)Worldwide asset and liability…Portfolio Credit Risk (1998)Portfolio Credit RiskIntroduction to Stochastic Programming (1998)Introduction to Stochastic Pr…An Overview of Value at Risk (1997)An Overview of Value at RiskStochastic Programming (1995)Stochastic ProgrammingStochastic Programming (1995)Stochastic ProgrammingNumerical Techniques for Stochastic Optimization (1988)Numerical Techniques for Stoc…A new approach to credit ratings (2021)A new approach to credit rati…Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures (2019)Portfolio optimization by imp…Stochastic efficiency analysis with a reliability consideration (2014)Stochastic efficiency analysi…On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem (2013)On reducing a quantile optimi…Nonlinear portfolio selection using approximate parametric Value-at-Risk (2013)Nonlinear portfolio selection…Fast gradient descent method for Mean-CVaR optimization (2013)Fast gradient descent method …What are robust strategies in the face of uncertain climate threshold responses? (2012)What are robust strategies in…Portfolio value-at-risk optimization for asymmetrically distributed asset returns (2012)Portfolio value-at-risk optim…Portfolio credit-risk optimization (2012)Portfolio credit-risk optimiz…VaR optimal portfolio with transaction costs (2011)VaR optimal portfolio with tr…Portfolio selection models: a review and new directions (2009)Portfolio selection models: a…A data-driven optimization heuristic for downside risk minimization (2006)A data-driven optimization he…Computational aspects of minimizing conditional value-at-risk (2005)Computational aspects of mini…On the global minimization of the value-at-risk (2004)On the global minimization of…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)PORTFOLIO SELECTION* (1952)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Ambulance location and relocation models (2003)Stochastic Programming Models (2003)A two-stage stochastic programming framework for transportation planning in disaster response (2004)Modeling and Forecasting Realized Volatility (2003)Optimization under uncertainty: state-of-the-art and opportunities (2003)Adjustable robust solutions of uncertain linear programs (2004)Lectures on Stochastic Programming: Modeling and Theory (2009)Data-driven chance constrained stochastic program (2015)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2011Introduction to Stochastic Programming6,469 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2010Stochastic Programming2,228 cited
  • 1998Introduction to Stochastic Programming1,664 cited
  • 1995Stochastic Programming1,539 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1995Stochastic Programming931 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 1988Numerical Techniques for Stochastic Optimization632 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 1998Worldwide asset and liability modeling370 cited
  • 1998Portfolio Credit Risk362 cited
  • 2005Value-at-risk in portfolio optimization: properties and computational approach325 cited
  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited

Cited by

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2012
What are robust strategies in the face of uncertain climate threshold responses?
125 cited
  • 2005Computational aspects of minimizing conditional value-at-risk93 cited
  • 2006A data-driven optimization heuristic for downside risk minimization89 cited
  • 2019Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures79 cited
  • 2012Portfolio value-at-risk optimization for asymmetrically distributed asset returns73 cited
  • 2009Portfolio selection models: a review and new directions51 cited
  • 2014Stochastic efficiency analysis with a reliability consideration43 cited
  • 2004On the global minimization of the value-at-risk42 cited
  • 2013On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem40 cited
  • 2011VaR optimal portfolio with transaction costs39 cited
  • 2013Nonlinear portfolio selection using approximate parametric Value-at-Risk39 cited
  • 2013Fast gradient descent method for Mean-CVaR optimization38 cited
  • 2012Portfolio credit-risk optimization33 cited
  • 2021A new approach to credit ratings25 cited