Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 25 for “"CVAR"”.
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Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks
… risk measure, Conditional Value at Risk (CVaR) also known as Expected Shortfall (ES), to optimise a portfolio of South African stocks. Value at Risk (VaR) is not a sub-additive risk measure and therefore does not possess one of the four properties that all coherent risk measures must …
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Robust optimization for portfolio risk : a ravisit of worst-case risk management procedures after Basel III award.
… robust portfolio optimization procedures with CVaR and worst-case CVaR risk models by providing a clear presentation of derivation of robust optimization models from a basic VaR model. For practical purposes, the thesis introduces an open source software interface called “RobustRisk”, which is …
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Three Essays in Financial Economics
… and convexity. Conditional Value-at-Risk (CVaR), defined as the expected loss conditional on a loss larger than the VaR is an intuitively appealing coherent risk measure (Artzner et al. (1999)). However, tractable methods to optimize portfolios based on CVaR are not readily available. In …
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Novel Approaches for Some Stochastic and Deterministic Scheduling Problems
… literature the use of conditional-value-at-risk (CVaR) as a criterion for stochastic scheduling problems in order to obtain risk-averse solutions. This criterion has the tendency of minimizing both the expectation and variance of a performance measure simultaneously, which is an attractive feature …
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Improving Market Risk Management with Heuristic Algorithms
… (VaR) and Conditional Value-at-Risk (CVaR) objective functions combined with different optimisation routines, we show that the Threshold Accepting (TA) heuristic algorithm reduces the capital requirements compared with the Trust-Region (TR) local search algorithm. Secondly, we …
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Improving the economic evaluation of flood risk management studies
… studies, based on the Conditional Value-at-Risk (CVaR), that provides a more meaningful and encompassing representation of the trade-offs at hand. An example application of optimizing a new levee design for flood risk reduction is performed, and of the three optimization strategies evaluated, the …
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Power system planning: an integrated techno-economic and portfolio approach
… implemented two methods, economic dispatch and CVaR minimization, to address risk and formulate a suitable portfolio for the Brazilian electricity matrix. We found that to minimize the risk in case of extreme fuel price events, our model allocated the Brazilian electricity expansion primarily in …
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Metody Importance Sampling při řešení optimalizačních úloh
… kde zkoumané míry rizika zahrnují rozptyl, VaR a CVaR Hlavním cílem je aproximace řešení optimalizačních úloh pomocí simulačních technik, jakými jsou Monte Carlo a Importance Sampling. Pro obě simulační techniky je zhotovena numerická studie jejich rozptylu a výkonnosti ve smyslu porovnání s …
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ONLINE RESOURCE ALLOCATION AND ITS APPLICATIONS
… concern. In this regard, the mean-variance and CVaR risk measures are the most common objective functions. Existing algorithms for risk-aware MAB have unrealistic assumptions on the reward distributions. We develop Thompson Sampling-style algorithms for mean-variance and CVaR MAB, and provide …
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Industry value at risk in Australia
… severe difficulty. Conditional Value at Risk (CVaR) measures extreme risk, and is gaining popularity with the recognition that high losses are often impacted by a small number of extreme events.
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Macroeconomic dynamics in low income economies
… data and co-integrating vector autoregressive (CVAR) models. The CVAR confirms the existence of a long run-relationship among the variables, with causality running from tobacco prices to the three variables. Second, we provide an empirical analysis of the effect of shortage of foreign exchange …
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Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa
… the Sharpe ratio, the conditional value-at-risk (CVaR) and the mean-variance spanning techniques were employed to analyse the data. The spanning test carried out was the multivariate ordinary least squares (OLS) regression Wald test. The research findings showed that the inclusion of …
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Estimating value at risk and expected shortfall: a kalman filter approach
… Expected Shortfall (ES), or Conditional VaR (CVaR), as the new primary measure for banking institutions to forecast market risk and hence allocate the relevant amount of regulatory market risk capital. ES measures the probability weighted losses beyond VaR, so VaR remains a crucial step in its …
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Robot Motions that Mitigate Uncertainty
… further level, using conditional value at risk (CVaR), for making risk-aware assignments between the source and goal. When the robot reaches its destination, the second problem addresses the object search task using a proposed machine learning-based intelligent motion model. A comparison of …
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Currency risk and imperfect knowledge: Cointegrated VAR analyses with survey data
… model is then extended in chapter 4 to the I(2) CVAR framework, which is a unique empirical approach designed to account for data which undergoes persistent changes over time without the need for data transformations which cause a loss of information. The I(2) model also allows for more rigorous …
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Caso de estudio: Bitcoin como activo refugio para los mercados de valores de Perú y Chile durante el inicio de la pandemia del COVID-19
… final portfolio analysis shows that through the CVaR methodology, including this cryptocurrency in two portfolios, one containing the iShares MSCI Peru ETF and the other with the iShares MSCI Chile ETF, has an insignificant impact on returns, risk and expected loss of the portfolio for the period …
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On the analysis of stochastic optimization and variational inequality problems
… when traders employ a conditional value-at-risk (CVaR) metric, much can be said by studying the interaction between value at risk (VaR) (a non-coherent risk measure) and conditional value at risk CVaR (a coherent risk measure based on VaR). Resolving this question requires characterizing the …
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Evaluación de riesgo de distintos esquemas contractuales de suministro de energía para generación renovable no convencional
… utilizando la métrica Conditional Value at Risk (CVaR), aplicada sobre diferentes histogramas que representan márgenes mensuales de un generador en función de su probabilidad de ocurrencia asociada. Este trabajo muestra que los niveles eficientes de contratación ERNC (solar y viento) deben …
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Parsimonious, Risk-Aware, and Resilient Multi-Robot Coordination
… we optimize the Conditional Value-at-Risk (CVaR), which allows the user the flexibility of choosing a risk level. We present an algorithm, based on the greedy algorithm, and prove that its performance has bounded suboptimality and improves with running time. We also present an online version …
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Nash equilibrium problems in power markets and product design: Analysis and algorithms
… optimizers, using a conditional value-at-risk (CVaR) measure. The resulting game-theoretic problem is a two-period risk-based stochastic Nash game with shared strategy sets. In general, this stochastic game has nonsmooth objectives and standard existence and uniqueness results cannot be …
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