math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and...

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Transcript of math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and...

Page 1: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 2: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 3: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 4: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 5: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 6: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 7: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 8: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 9: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 10: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 11: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 12: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 13: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 14: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 15: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 16: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 17: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 18: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 19: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 20: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 21: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 22: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 23: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 24: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 25: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 26: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall
Page 27: math.columbia.edumath.columbia.edu/~chekhlov/WorldScientific--SupplyChainFinance.2… · 13) and the resulting problem is linear. CVaR is known also as Mean Ex- cess Loss, Mean Shortfall

Sensitivity of portfolio VaR and CVaR to portfolio return ...statistik.econ.kit.edu/download/technical_reports/distrCharAndRisk... · Sensitivity of portfolio VaR and CVaR to portfolio

Sensitivity of portfolio VaR and CVaR to portfolio return ...statistik.econ.kit.edu/download/technical_reports/distrCharAndRisk... · Sensitivity of portfolio VaR and CVaR to portfolio

Cs Portfolio Management Basel Accord Var Cvar Avg Shell

Cs Portfolio Management Basel Accord Var Cvar Avg Shell

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Portfolio Optimization CVaR

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Optimal Dynamic Portfolio with Mean-CVaR Criterion

Portfolio optimization using Mean Absolute Deviation (MAD) and … · 2017. 2. 23. · Portfolio optimization using Mean Absolute Deviation (MAD) and Conditional Value-at-Risk (CVaR)

Portfolio optimization using Mean Absolute Deviation (MAD) and … · 2017. 2. 23. · Portfolio optimization using Mean Absolute Deviation (MAD) and Conditional Value-at-Risk (CVaR)

ASSET/LIABILITY MANAGEMENT FOR PENSION FUNDS USING CVaR ...

ASSET/LIABILITY MANAGEMENT FOR PENSION FUNDS USING CVaR ...

Value-at-Riskvs.ConditionalValue-at-Riskin ...Conditional value-at-risk (CVaR), introduced by Rockafellar and Uryasev [19], is a popular tool for managing risk. CVaR approximately

Value-at-Riskvs.ConditionalValue-at-Riskin ...Conditional value-at-risk (CVaR), introduced by Rockafellar and Uryasev [19], is a popular tool for managing risk. CVaR approximately

Concentration Inequalities for Conditional Value at Riskelm/papers/ICML_CVAR_19.pdfchine learning, in place of the mean, are the value at risk (VaR) and conditional value at risk (CVaR).

Concentration Inequalities for Conditional Value at Riskelm/papers/ICML_CVAR_19.pdfchine learning, in place of the mean, are the value at risk (VaR) and conditional value at risk (CVaR).

VaR vs CVaR CARISMA Conference 2010

VaR vs CVaR CARISMA Conference 2010

01 Min-max robust and CVaR robust mean-variance …tfcolema/articles/JOR11(3...Min-max robust and CVaR robust mean-variance portfolios 3 robust formulation provides robustness by considering

01 Min-max robust and CVaR robust mean-variance …tfcolema/articles/JOR11(3...Min-max robust and CVaR robust mean-variance portfolios 3 robust formulation provides robustness by considering

VaR vs CVaR in risk management and optimization

VaR vs CVaR in risk management and optimization

Smoothing and parametric rules for stochastic mean-CVaR ...

Smoothing and parametric rules for stochastic mean-CVaR ...

Asset/Liability Management for Pension Funds Using CVaR ... · Asset/Liability Management for Pension Funds Using CVaR Constraints ERIK BOGENTOFT, H. EDWIN ROMEIJN, STANISLAV URYASEV

Asset/Liability Management for Pension Funds Using CVaR ... · Asset/Liability Management for Pension Funds Using CVaR Constraints ERIK BOGENTOFT, H. EDWIN ROMEIJN, STANISLAV URYASEV

Conditional Value-at-Risk (CVaR): Algorithms and Applications

Conditional Value-at-Risk (CVaR): Algorithms and Applications

CVaR Algo Et Application

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CVAR PROXIES FOR MINIMIZING SCENARIO …...CVAR PROXIES FOR MINIMIZING SCENARIO-BASED VALUE-AT-RISK Helmut Mausser and Oleksandr Romanko Quantitative Research, Risk Analytics, Business

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Optimizing the CVaR via Sampling - arXiv · Optimizing the CVaR via Sampling Aviv Tamar, Yonatan Glassner, and Shie Mannor Electrical Engineering Department The Technion - Israel

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Cvar 119-cxp tobacco-product-analysis-tech-summit-2016-part1-cvar-tf

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CVaR Regression Based on the Relation between CVaR and ...uryasev.ams.stonybrook.edu/wp-content/uploads/2019/...Journal of Risk and Financial Management Article CVaR Regression Based

CVaR Regression Based on the Relation between CVaR and ...uryasev.ams.stonybrook.edu/wp-content/uploads/2019/...Journal of Risk and Financial Management Article CVaR Regression Based

On Variance Reduction of Mean-CVaR Monte Carlo Estimatorspetrova/Seminar/download/VK_Variance_Reduction_2.pdf · On Variance Reduction of Mean-CVaR Monte Carlo Estimators V aclav

On Variance Reduction of Mean-CVaR Monte Carlo Estimatorspetrova/Seminar/download/VK_Variance_Reduction_2.pdf · On Variance Reduction of Mean-CVaR Monte Carlo Estimators V aclav