[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 …
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 …
and optimization of conditional VaR (CVaR) for a broad class of problems. We have …
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) …
been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) …
Portfolio optimization with drawdown constraints
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 (…
(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 …
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 …
(Rockafellar and Uryasev, … The paper by Rockafellar and Uryasev (2001) defines CVaR …
Credit risk optimization with conditional value-at-risk criterion
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. …
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 …
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 …
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 …
entire financial system. In this paper, we propose a measure for systemic risk, CoCVaR, the …