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.
Results
Showing 1 to 20 of 31 for “"conditional-value-at-risk"”.
-
Alternative distributions in the Black-Litterman model of asset allocation
… the normal distribution assumption in the calculation of the prior equilibrium returns used in the model with a more general distribution which captures the skewness and fat tails exhibited by stock data. We consider the á stable distributions as an alternative distribution to the normal …
-
Essays on measuring systemic risk
The present dissertation explores various approaches of measuring the systemic risk, identifying the systemic important banking institutions and exploring extreme equity price movements of euro area banking institutions. It consists three chapters focusing on U.S. and euro area banking …
-
Industry value at risk in Australia
Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important …
-
Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks
… the feasihility of using a coherent monetary 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 …
-
An alternative model for multivariate stable distributions
As the title, "An Alternative Model for Multivariate Stable Distributions", depicts, this thesis draws from the methodology of [J36] and derives an alternative to the sub-Gaussian alpha-stable distribution as another model for multivariate stable data without using the spectral measure as a …
-
Data driven approaches to improve operational efficiency of emergency medical services
We study data-driven approaches to maximize the service level of Emergency Medical Services (EMS) in emerging economies. These systems usually operate under heavy resource constraints and face significant operational challenges, making them structurally and operationally different from systems in …
-
Risk Optimized Microgrid Resource Management
<p>This thesis proposes a risk based price adjustment method for a day ahead scheduling of a distribution side tiered community microgrid within a transactive energy style market. The system is organized into a master controller and local controller confïguration to simulate behind meter activity …
-
Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa
The dissertation examined the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments using daily arithmetic returns from August 2015 to October 2018 of traditional assets (South African stocks, bonds, currencies), alternative assets …
-
Portfolio risk minimization under departures from normality
… the development of financially intuitive and statistically sound approaches to portfolio risk minimization. When returns exhibit asymmetry, we propose using a quantile-based measure of risk which we call shortfall. Shortfall is related to Value-at-Risk and Conditional Value-at-Risk, and can be …
-
Temporally Feathered Radiation Therapy under Uncertainty
This thesis focuses on radiation therapy planning through novel stochastic optimization models that account for biological heterogeneity and uncertainty in organ-at-risk (OAR) responses. Building on the temporally feathered radiation therapy (TFRT) strategy, we develop a personalized, biologically …
-
Problem-driven scenario generation for stochastic programs
Stochastic programming concerns mathematical programming in the presence of uncertainty. In a stochastic program uncertain parameters are modeled as random vectors and one aims to minimize the expectation, or some risk measure, of a loss function. However, stochastic programs are computationally …
-
Robot Motions that Mitigate Uncertainty
This dissertation addresses the challenge of robot decision making in the presence of uncertainty, specifically focusing on robot motion decisions in the context of deep learning-based perception uncertainty. The first part of this dissertation introduces a risk-aware framework for path planning …
-
Volatility and risk management in agricultural commodity markets
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-08-01
-
Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs
… methods for the efficient estimation of risk measures of quantities of interest in the context of optimization of partial differential equations (PDEs) with random inputs. Risk measures of the quantities of interest arise as objective functions or as constraints in the …
-
Managing Financial Risks for Wind Power Producers in Wholesale Electricity Markets
Wind power plant operators are exposed to financial risk in wholesale electricity markets due to the uncertain nature of wind forecasts, day-ahead electricity prices, and real-time electricity prices. In the event of a shortfall compared to the production forecast, the wind generator may have to …
-
Improving Market Risk Management with Heuristic Algorithms
Recent changes in the regulatory framework for banking supervision increase the regulatory oversight and minimum capital requirements for financial institutions. In this thesis, we research active portfolio optimisation techniques with heuristic algorithms to manage new regulatory challenges faced …
-
Improving the economic evaluation of flood risk management studies
This thesis provides recommendations for improving the economic evaluation of flood risk management (FRM) studies. The most common types of FRM infrastructure in the United States (U.S.) are dams and levees. The FRM infrastructure in the U.S. is aging with a large number of dams and levees now more …
-
Hawkes processes and some financial applications
… by Hawkes (1971). The distinguishing feature of such processes is that they allow all past `events' to affect the intensity function at the current time. Over the years such processes have been applied in seismology and neurophysiology in particular, and in more recent years there have …
-
On the analysis of stochastic optimization and variational inequality problems
… of price and cost functions in power, transportation, communication and financial systems have stemmed from the way these networked systems operate and also how they interact with one another. Uncertainty influences the design, regulation and decisions of participants in several engineered …
-
Risk-sensitive optimization for power systems
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2023-04-12 without embargo terms
Page 1 of 2