Keywords: Portfolio; CVaR; Variance Gamma; Copula; Monte Carlo
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Keywords: Regional water resources allocation; Interval two-stage stochastic model; CVaR; RCP;
Keywords: Stochastic programming; Convex programming; Scenario approach; Expected shortfall; CVaR;
Keywords: Transportation; Retrofitting; CVaR; Stochastic mixed integer nonlinear optimization; Generalized Benders Decomposition;
Incorporating transaction costs, weighting management, and floating required return in robust portfolios
Keywords: Robust portfolio models; Trading costs; Floating required return; CVaR;
Keywords: BoE; Bank of England; BoJ; Bank of Japan; CVAR; Cointegrated Vector Autoregression Model; VIX; CBOE volatility index; ECB; European Central Bank; FOMC; Federal Open Market Committee; GSE; government sponsored enterprise; MBSs; mortgage backed securities;
Keywords: Robustness and sensitivity analysis; Distributionally robust optimization; Single machine scheduling; CVaR; Total flow time;
Keywords: AYCTE; all-you-care-to-eat; CDS; Campus Dining Services; CDF; cumulative density function; CO2; carbon dioxide; CVaR; conditional value-at-risk; EPA; United States Environmental Protection Agency; FAO; United Nations Food and Agriculture Organization; g;
Keywords: Dual-channel supply chain; Coordination; Stackelberg game; Risk-averse; CVaR;
Keywords: Electricity; Risk; Retailer; Hedging; Portfolio; Intra-day; VaR; CVaR; C02; L94; G11; G32;
Keywords: DSO; distribution system operator; PBR; performance based rate; RPS; reward penalty scheme; SAIDI; system average interruption duration index; SAIFI; system average interruption frequency index; OHL; overhead line; HPP; homogenous poisson process; NHPP; n
Keywords: Lead time; Risk-averse; Forecast error; CVaR; Supply chain
Keywords: Portfolio procurement; CVaR; Contingent option contract; Stochastic programming;
Keywords: VPP; Two-stage stochastic programming; Risk; CVaR; Scenario based modelling; Uncertainty;
Keywords: Optimal insurance; VaR; CVaR; Piecewise linear deductible insurance; Moral hazard
A closed-form solution of the Black-Litterman model with conditional value at risk
Keywords: Black-Litterman model; Portfolio optimization; CVaR; Elliptical distribution;
Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Keywords: Stochastic programming; Mixed-integer multi-stage stochastic programming; Dynamic measures of risk; CVaR; Bounding;
The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Keywords: Downside risk; Hedging strategy; CVaR; Carbon price; Risk measurement;
House prices and capital inflows in Spain during the boom: Evidence from a cointegrated VAR and a structural Bayesian VAR
Keywords: House prices; Capital inflows; Leveraging; CVAR; Structural Bayesian VAR; C22; F15;
Research papersA multi-objective optimization model with conditional value-at-risk constraints for water allocation equality
Keywords: Water allocation; Gini coefficient; Equality; CVaR; Water use sectors;
Application of CVaR risk aversion approach in the expansion and operation planning and for setting the spot price in the Brazilian hydrothermal interconnected system
Keywords: Power Generation planning; Expansion planning; Hydrothermal systems; Stochastic programming; Risk aversion; CVaR;
Real exchange rate and economic growth in China: A cointegrated VAR approach
Keywords: F3; O24; F43; C32; Real exchange rate (RER); Economic growth; CVAR; China;
A risk-averse newsvendor model under marketing-dependency and price-dependency
Keywords: Newsvendor model; Marketing-dependency; Price-dependency; CVaR;
Optimal reinsurance under the Haezendonck risk measure
Keywords: Optimal reinsurance; Haezendonck risk measure; Expectation principle; Budget constraint; CVaR
EVT and tail-risk modelling: Evidence from market indices and volatility series
Keywords: VaR; EVT; CVaR; ES
Evaluating risk-constrained bidding strategies in adjustment spot markets for wind power producers
Keywords: Electricity markets; Uncertainty; Wind energy; Imbalance prices; Risk management; CVaR;
Channel bargaining with risk-averse retailer
Keywords: Nash-bargaining; Nash-bargaining equilibrium; CVaR; Supply chain management;
Risk-based maintenance and rehabilitation decisions for transportation infrastructure networks
Keywords: Maintenance; Rehabilitation; Risk; CVaR; Resource allocation
Bilevel newsvendor models considering retailer with CVaR objective
Keywords: Bilevel newsvendor model; Two-echelon systems; CVaR; Demand distribution
A comparison of MAD and CVaR models with real features
Keywords: C61; G11; Portfolio optimization; Worst conditional expectation; CVaR; MAD; Real features; Mixed integer linear programming;
Risk-averse profit-based optimal scheduling of a hydro-chain in the day-ahead electricity market
Keywords: Hydroelectric power generation; Mixed integer linear programming; Short-term hydro scheduling; Day-ahead energy markets; Profit maximization; Risk-aversion; CVaR
Hedge fund portfolio construction: A comparison of static and dynamic approaches
Keywords: G11; G12; Hedge fund portfolios; Dynamic covariances/correlations; Multivariate GARCH; Regime switching; CVaR;
Minimizing CVaR and VaR for a portfolio of derivatives
Keywords: C61; G11; VaR; CVaR; Risk minimization; Ill-posedness; Transaction and management cost;