[PDF][PDF] Optimization of conditional value-at-risk

RT Rockafellar, S Uryasev - Journal of risk, 2000 - Citeseer
This paper introduces a new approach to optimizing a portfolio so as to reduce the risk of
high losses. Value-at-Risk (VaR) has a role in the approach, but the emphasis is on …

Conditional value-at-risk: Optimization algorithms and applications

S Uryasev - proceedings of the IEEE/IAFE/INFORMS 2000 …, 2000 - ieeexplore.ieee.org
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. We have …

Drawdown measure in portfolio optimization

A Chekhlov, S Uryasev, M Zabarankin - International Journal of …, 2005 - World Scientific
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) …

Portfolio optimization with drawdown constraints

A Chekhlov, S Uryasev, M Zabarankin - Supply chain and finance, 2004 - World Scientific
We propose a new one-parameter family of risk measures, which is called Conditional Draw-down-at-Risk
(CDaR). These measures of risk are functionals of the portfolio drawdown (…

Conditional value-at-risk for general loss distributions

RT Rockafellar, S Uryasev - Journal of banking & finance, 2002 - Elsevier
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 …

[PDF][PDF] Portfolio optimization with conditional value-at-risk objective and constraints

P Krokhmal, J Palmquist, S Uryasev - Journal of risk, 2002 - Citeseer
Uryasev, 2000) provides the foundation for the analysis conducted in this paper. First, following
(Rockafellar and Uryasev, … The paper by Rockafellar and Uryasev (2001) defines CVaR …

Credit risk optimization with conditional value-at-risk criterion

…, H Mausser, D Rosen, S Uryasev - Mathematical programming, 2001 - Springer
This paper examines a new approach for credit risk optimization. The model is based on the
Conditional Value-at-Risk (CVaR) risk measure, the expected loss exceeding Value-at-Risk. …

Relaxation algorithms to find Nash equilibria with economic applications

JB Krawczyk, S Uryasev - Environmental Modeling & Assessment, 2000 - Springer
Recent theoretical studies have shown that a relaxation algorithm can be used to find
noncooperative equilibria of synchronous infinite games with nonlinear payoff functions and …

Deviation measures in risk analysis and optimization

RT Rockafellar, SP Uryasev… - University of Florida …, 2002 - papers.ssrn.com
General deviation measures, which include standard deviation as a special case but need
not be symmetric with respect to ups and downs, are defined and shown to correspond to risk …

The CoCVaR approach: Systemic risk contribution measurement

WQ Huang, SP Uryasev - Journal of Risk, 2018 - papers.ssrn.com
Systemic risk is the risk that the defaults of one or more institutions trigger a collapse of the
entire financial system. In this paper, we propose a measure for systemic risk, CoCVaR, the …