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Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)
16 references·4 citing·27 second hop
Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk) (2000)Introduction to the Theory of Probabilist…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingConditional value-at-risk: optimization algorithms and applications (2002)Conditional value-at-risk: op…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…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…Introduction to Stochastic Programming (1998)Introduction to Stochastic Pr…A Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…An Overview of Value at Risk (1997)An Overview of Value at RiskStochastic Programming (1995)Stochastic ProgrammingStochastic Programming (1995)Stochastic ProgrammingMean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Gradient Estimation via Perturbation Analysis (1991)Gradient Estimation via Pertu…Numerical Techniques for Stochastic Optimization (1988)Numerical Techniques for Stoc…MULTILEVEL MONTE CARLO ESTIMATORS FOR DERIVATIVE-FREE OPTIMIZATION UNDER UNCERTAINTY (2023)MULTILEVEL MONTE CARLO ESTIMA…CVaR-Based Approximations of Wasserstein Distributionally Robust Chance Constraints with Application to Process Scheduling (2020)CVaR-Based Approximations of …A Discussion of Probability Functions and Constraints from a Variational Perspective (2020)A Discussion of Probability F…Conditional Value at Risk (2009)Conditional Value at RiskPortfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)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)Conditional value-at-risk for general loss distributions (2002)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)Monte Carlo sampling-based methods for stochastic optimization (2014)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
  • 2010Stochastic Programming2,228 cited
  • 1998Introduction to Stochastic Programming1,664 cited
  • 1995Stochastic Programming1,539 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1995Stochastic Programming931 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 1991Gradient Estimation via Perturbation Analysis707 cited
  • 1988Numerical Techniques for Stochastic Optimization632 cited
  • 1998A Minimax Portfolio Selection Rule with Linear Programming Solution406 cited
  • 2002Conditional value-at-risk: optimization algorithms and applications382 cited
  • 1998Worldwide asset and liability modeling370 cited

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Cited by

  • 2009Conditional Value at Risk30 cited
  • 2020CVaR-Based Approximations of Wasserstein Distributionally Robust Chance Constraints with Application to Process Scheduling29 cited
  • 2020A Discussion of Probability Functions and Constraints from a Variational Perspective29 cited
  • 2023MULTILEVEL MONTE CARLO ESTIMATORS FOR DERIVATIVE-FREE OPTIMIZATION UNDER UNCERTAINTY7 cited