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Optimization of conditional value-at risk
A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) ratherExpand
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  • 583
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Conditional Value-at-Risk for General Loss Distributions
Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with significant advantages over value-at-risk (VaR), are derived for loss distributions in finance that can involveExpand
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Conditional Value-at-Risk for General Loss Distributions
TLDR
Conditional value-at-risk is able to quantify dangers beyond value- at-risk, and moreover it is coherent. Expand
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Generalized Deviations in Risk Analysis
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such measures includeExpand
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Generalized deviations in risk analysis
TLDR
General deviation measures are introduced and studied systematically for their potential applications in areas like portfolio optimization and engineering. Expand
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Conditional value-at-risk: optimization algorithms and applications
  • S. Uryasev
  • Economics, Computer Science
  • Proceedings of the IEEE/IAFE/INFORMS Conference…
  • 28 March 2000
TLDR
This article has outlined a new approach for the simultaneous calculation of value-at-risk (VaR) and optimization of conditional VaR (CVaR) for a broad class of problems. Expand
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The fundamental risk quadrangle in risk management, optimization and statistical estimation
TLDR
We propose the fundamental risk quadrangle of risk, which bridges risk management, optimization, statistics and Stochastic Optimization. Expand
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Drawdown Measure in Portfolio Optimization
A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered inExpand
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Credit risk optimization with Conditional Value-at-Risk criterion
TLDR
This paper examines a new approach for credit risk optimization. Expand
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Optimality conditions in portfolio analysis with general deviation measures
TLDR
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable could be the rate of return from a portfolio of financial instruments. Expand
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