المؤلفون: Archana Rout, Biswa Ranjan Senapati, Debahuti Mishra

المصدر: IEEE Access, Vol 13, Pp 3900-3916 (2025)

مصطلحات موضوعية: CVAR model, data imputation, multivariate time series forecasting models, VAR model, VARMA model, VMA model, Electrical engineering. Electronics. Nuclear engineering, TK1-9971

وصف الملف: electronic resource

Relation: https://ieeexplore.ieee.org/document/10819384/; https://doaj.org/toc/2169-3536

URL الوصول: https://doaj.org/article/cc5cf729adf146e6b4df2645f710aeaf

المؤلفون: Maziar Salahi, Tahereh Khodamoradi, Abdelouahed Hamdi

المصدر: Mathematics and Modeling in Finance, Vol 3, Iss 1, Pp 83-98 (2023)

مصطلحات موضوعية: portfolio optimization, mean-cvar model, standard deviation, Finance, HG1-9999, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://jmmf.atu.ac.ir/article_16143_843342c89250203022682acc5eb645da.pdf; https://doaj.org/toc/2783-0578; https://doaj.org/toc/2783-056X

URL الوصول: https://doaj.org/article/f2e5ceab7bd041dfbde8875fc3c204d7

المؤلفون: Welfe, Aleksander, Moenke, Anna

المساهمون: Uniwersytet Łódzki, Szkoła Główna Handlowa, aleksander.welfe@uni.lodz.pl

مصطلحات موضوعية: gas price determinants, German natural gas market, shale revolution, CVAR model

وصف الملف: application/pdf

Relation: Journal of Economics and Statistics, No. 4; 242; http://hdl.handle.net/11089/48731; https://doi.org/10.1515/jbnst-2022-0002

الاتاحة: http://hdl.handle.net/11089/48731
https://doi.org/10.1515/jbnst-2022-0002

المؤلفون: Sergej Gričar, Štefan Bojnec

المصدر: Journal of Risk and Financial Management; Volume 14; Issue 11; Pages: 517

مصطلحات موضوعية: Eurozone, managerial planning, nominal prices, real prices, spatial consolidated CVAR model, the tourism sector, seasonal decision-making

وصف الملف: application/pdf

Relation: Financial Technology and Innovation; https://dx.doi.org/10.3390/jrfm14110517

الاتاحة: https://doi.org/10.3390/jrfm14110517

المؤلفون: Pušar Banović Dolores

المساهمون: Paspalj, Miodrag

مصطلحات موضوعية: beta coefficient, VaR model, CvaR model, Zagreb Stock Exchange

URL الوصول: https://explore.openaire.eu/search/publication?articleId=57a035e5b1ae::5d0fd421cd399182e7430e545324c89f
https://www.bib.irb.hr/1226795

المؤلفون: Sánchez Vargas,Armando

المصدر: Investigación económica v.75 n.296 2016

مصطلحات موضوعية: Neutral interest rate, zero interest rate policy, CVAR model

وصف الملف: text/html

الاتاحة: http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0185-16672016000200005

المؤلفون: Welfe, Aleksander, Moenke, Anna

المساهمون: Uniwersytet Łódzki, Szkoła Główna Handlowa, aleksander.welfe@uni.lodz.pl

مصطلحات موضوعية: gas price determinants, German natural gas market, shale revolution, CVAR model

وصف الملف: application/vnd.openxmlformats-officedocument.spreadsheetml.sheet

Relation: http://hdl.handle.net/11089/52614

الاتاحة: http://hdl.handle.net/11089/52614

المؤلفون: Armando Sánchez Vargas

المصدر: Universidad Nacional Autónoma de México
UNAM
Redalyc-UNAM
Investigación Económica (México) Num.296 Vol.LXXV

مصطلحات موضوعية: cvar model, Full employment, Financial economics, Inflation targeting, media_common.quotation_subject, Monetary policy, modelo cvar, Economics, Econometrics and Finance(all), Monetary economics, Recession, Vector autoregression, Interest rate, Neutral interest rate, tasa de interés de política cero, zero interest rate policy, Federal funds, tasa de interés neutral, Economics, Economía y Finanzas, Real interest rate, General Economics, Econometrics and Finance, CVAR model, media_common

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::48807bceac07aa09dc8a1df0f4d51d9d

المؤلفون: Setihe, Omar

المساهمون: Lellep, Jaan, juhendaja, Kantšukov, Mark, juhendaja, Tartu Ülikool. Loodus- ja täppisteaduste valdkond, Tartu Ülikool. Matemaatika ja statistika instituut

مصطلحات موضوعية: Euleri võrrand, dynamic programming, Euler’s equation, tinglik VaR mudel, Auto Regressive Integrated Moving Average (ARIMA) model, VaR mudel, ARIMA mudel, Conditional Value at Risk (CVaR) model, stochastic optimal control, Markowitz portfolio, Value at Risk (VaR) model, Markowitzi portfoolio, dünaamiline programmeerimine, stohhastiline optimaalne kontroll

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od______1018::dc2122db9b59e4e0bff78afccdd43328
http://hdl.handle.net/10062/69403

المؤلفون: Neděla, David

المساهمون: Tichý, Tomáš, Kresta, Aleš

مصطلحات موضوعية: Riziko, Markowitzův model, Value at Risk, portfolio, optimalizace akciového portfolia, akcie, ukazatele výkonnosti portfolia, benchmark, Blackův model, mean-Value at Risk model, CVaR model, Bayesovská strategie, Sharpeho poměr, Rachevův poměr, Risk, Markowitz model, Equity Portfolio Optimization, Equity, Portfolio Performance Measures, Black‘s model, Bayesian strategy, Sharpe Ratio, Rachev Ratio

وصف الملف: 5372210 bytes; application/pdf

Relation: OSD002; http://hdl.handle.net/10084/135677; S2751; NED0043_EKF_N6202_6202T010_2019

الاتاحة: http://hdl.handle.net/10084/135677

المؤلفون: 王大鹏, 赵正堂

مصطلحات موضوعية: 保险业, 虚实配比, 资产配置, 风险整合, Copula-CVaR模型, insurance industry, virtual reality matching, asset allocation, integration risks, copula CVaR Model

Relation: 产经评论,2016,7(02):73-84; TQYG201602008; https://dspace.xmu.edu.cn/handle/2288/162310

الاتاحة: https://dspace.xmu.edu.cn/handle/2288/162310

المؤلفون: 王大鹏, 赵正堂

المساهمون: 北京大学光华管理学院, 厦门大学经济学院

المصدر: 万方 ; 知网 ; http://d.g.wanfangdata.com.cn/Periodical_jjqy201602007.aspx

مصطلحات موضوعية: 保险业, 虚实配比, 资产配置, 风险整合, Copula - CVaR 模型, insurance industry, virtual reality matching, asset allocation, integration risks, copula -CVaR Model

Relation: 产经评论.2016,7,(2),71-82.; 1496130; http://hdl.handle.net/20.500.11897/452496

الاتاحة: https://hdl.handle.net/20.500.11897/452496
https://doi.org/10.14007/j.cnki.cjpl.2016.02.007

المؤلفون: NACCARATO, ALESSIA, PIERINI A.

المساهمون: C. Perna, M. Sibillo (eds.), Naccarato, Alessia, Pierini, A.

مصطلحات موضوعية: BEKK model, CVAR model, Markowitz portfolio

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-3-319-05013-3; ispartofbook:Mathematical and Statistical Methods for Actuarial Sciencesand Finance; alleditors:C. Perna, M. Sibillo (eds.); http://hdl.handle.net/11590/168709; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84934268717

الاتاحة: http://hdl.handle.net/11590/168709
https://doi.org/10.1007/978-3-319-05014-0_34

المؤلفون: NACCARATO, ALESSIA, PIERINI A, REALE M.

المساهمون: Colubi A, Croux C, Kontoghiorghes E J, Van Dijk H K, Naccarato, Alessia, Pierini, A, Reale, M.

مصطلحات موضوعية: BEKK model, CVAR model, Markovitz type portfolio

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-84-937822-2-1; ispartofbook:Book of abstract CFE 2012 6th CSDA International Conference on Computational and Financial Econometrics; CFE 2012 - ERCIM 2012; firstpage:51; alleditors:Colubi A; Croux C; Kontoghiorghes E J; Van Dijk H K; http://hdl.handle.net/11590/185485

الاتاحة: http://hdl.handle.net/11590/185485

المؤلفون: Branda, Martin

مصطلحات موضوعية: keyword:mean-CVaR model, keyword:mixed-integer value function, keyword:stability analysis, keyword:contamination techniques, keyword:derivatives of optimal value function, msc:90C11, msc:90C15, msc:90C31, msc:91B28, msc:91B30

وصف الملف: application/pdf

Relation: mr:MR2676075; zbl:Zbl 1202.90203; reference:[1] Bank, B., Guddat, J., Klatte, D., Kummer, B., Tammer, K.: Non-linear Parametric Optimization.Akademie-Verlag, Berlin 1982. Zbl 0502.49002; reference:[2] Billingsley, P.: Convergence of Probability Measures.(Wiley Series in Probability and Statistics.) Second edition. Wiley, New York 1999. Zbl 0944.60003, MR 1700749; reference:[3] Blair, C. E., Jeroslow, R. G.: The value function of a mixed integer program: I.Discrete Mathematics 19 (1977), 121–138. Zbl 0545.90079, MR 0475841, 10.1016/0012-365X(77)90028-0; reference:[4] Dobiáš, P.: Contamination for stochastic integer programs.Bulletin of the Czech Econometric Society 10 (2003), No. 18.; reference:[5] Dupačová, J.: Stability in stochastic programming with recourse.Contaminated distributions. Mathematical Programming Study 27 (1986), 133–144. MR 0836754, 10.1007/BFb0121117; reference:[6] Dupačová, J.: Stability and sensitivity-analysis for stochastic programming.Ann. Oper. Res. 27 (1990), 115–142. MR 1088990, 10.1007/BF02055193; reference:[7] Dupačová, J.: Output analysis for approximated stochastic programs.In: Stochastic Optimization: Algorithms and Applications (S. Uryasev and P. M. Pardalos, Eds.), Kluwer Academic Publishers, Dordrecht 2001, pp. 1–29. MR 1835091; reference:[8] Dupačová, J.: Risk objectives in two-stage stochastic programming models.Kybernetika 44 (2008), 2, 227–242. MR 2428221; reference:[9] Dupačová, J., Polívka, J.: Stress testing for VaR and CVaR.Quantitative Finance 27 (2007), 4, 411–421. MR 2354778, 10.1080/14697680600973323; reference:[10] Miettinen, K.: Nonlinear Multiobjective Optimization.Kluwer Academic Publishers, Dordrecht 1999. Zbl 1181.90237, MR 1784937; reference:[11] Rockafellar, T. R., Uryasev, S.: Conditional value-at-risk for genera loss distributions.J. Banking and Finance 26 (2002), 1443–1471. 10.1016/S0378-4266(02)00271-6; reference:[12] Römisch, W.: Stability of Stochastic Programming Problems.In: Stochastic Programming (A. Ruszczynski and A. Shapiro eds.), Handbooks in Operations Research and Management Science Vol. 10, Elsevier, Amsterdam (2003), 483-554. MR 2052760; reference:[13] Römisch, W., Schultz, R.: Multistage stochastic integer programming: an introduction.In: Online Optimization of Large Scale Systems (M. Grötschel, S. O. Krumke, and J. Rambau, eds.), Springer-Verlag, Berlin 2001, pp. 581–600.; reference:[14] Schultz, R.: On structure and stability in stochastic programs with random technology matrix and complete integer recourse.Mathematical Programming 26 (1995), 73–89. Zbl 0841.90101, MR 1358547, 10.1007/BF01585929; reference:[15] Schultz, R.: Stochastic programming with integer variables.Mathematical Programming, Ser. B 97 (2003), 285–309. Zbl 1035.90053, MR 2004400; reference:[16] Schultz, R., Tiedemann, S.: Conditional value-at-risk in stochastic programs with mixed-integer recourse.Mathematical Programming, Ser. B 105 (2006), 365–386. Zbl 1085.90042, MR 2190827, 10.1007/s10107-005-0658-4; reference:[17] Szegö, G.: Risk Measures for the 21st Century.Wiley, Chichester 2004.; reference:[18] Wallace, S. W., Ziemba, W. T.: Applications of Stochastic Programming.(MPS-SIAM Book Series on Optimization, Volume 5.) SIAM Philadelpia 2005. Zbl 1068.90002

الاتاحة: http://hdl.handle.net/10338.dmlcz/140752

المؤلفون: Pierini, Andrea

المساهمون: Reale, Marco, Naccarato, Alessia

مصطلحات موضوعية: BEKK model, CVAR model, Markowitz portfolio, Simulation, Settori Disciplinari MIUR::Scienze economiche e statistiche::STATISTICA, Categorie ISI-CRUI::Scienze economiche e statistiche::Mathematics, Scienze economiche e statistiche

الاتاحة: http://hdl.handle.net/2307/4165

المؤلفون: Branda, Martin

مصطلحات موضوعية: mean-CVaR model, mixed-integer value function, stability analysis, contamination techniques, derivatives of optimal value function

جغرافية الموضوع: [362]-373

وصف الملف: média; svazek

Relation: https://kramerius.lib.cas.cz/view/uuid:ba5cd9e3-ece5-4395-ae8c-bab1f9a206b6

الاتاحة: https://kramerius.lib.cas.cz/view/uuid:ba5cd9e3-ece5-4395-ae8c-bab1f9a206b6

المؤلفون: 方俐潔, Fang, Li-Chieh

المساهمون: 淡江大學財務金融學系碩士班, 李沃牆, Lee, Wo-Chiang

مصطلحات موضوعية: CVaR model, CVaR模型, FinTech, M-V model, M-V模型, Portfolio performance, Robo-advisor, 投資組合績效, 金融科技, 機器人理財

وصف الملف: 144 bytes; text/html

Relation: 一、中文文獻 1.吳雅萍（2004），在VaR風險指標下之最適投資組合─以亞洲股價指數為例，南台科技大學企業管理系碩士論文。 2.賴財慶與李詩政（2004），台灣金融控股公司市場風險資本配置之研究─條件風險值法，證券市場發展季刊，第16卷第4期，頁145-174。 3.許倫維（2006），探討在Mean-Variance模型下，VaR或CVaR的條件限制對投資組合選擇的影響，國立清華大學科技管理研究所碩士論文。 4.程榮樁（2007），台灣五十指數型基金與大型投資組合共同基金之績效比較，國立中興大學高階經理人碩士在職專班碩士論文。 5.葉惠菁（2011），MV 及 MCVaR 投資組合模型之績效評估－大中華區股市之實證研究，淡江大學財務金融學系碩士論文。 二、英文文獻 1.Alexander, G. J. and A. M. Baptista,（2004）, “A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model,” Management Science, Vol. 50, No.90, pp.1261-1273 2.Brianton, G.（1998）“Portfolio Optimization, Risk Management and Financial Derivatives: A Guide to the Mathematics”, led, Palgrave,. 3.Brinson, G. P., B. D. Singer, and G. L. Beebower（1991）, “Determinants of Portfolio Performance II: An Update,” Financial Analysts Journal, Vol. 47, pp. 40-48. 4.Chopra, V. K., and W.T. Ziemba（1993）“The Effect of Errors in Means, Variance, and Covariances on Optimal Portfolio Choice,” Journal of Portfolio Management, Vol. 19, No. 2, pp. 6-11. 5.Dahquist, Magnus and Harvey, R. Campbell,（2001）“Global Tactical Asset Allocation,” Emerging Market Quarterly, Spring, pp. 6-14. 6.Eichhorn David, Francis Gupta and Eric Stubbs,（1998）, “Using Constraints to Improve the Robustness of Asset Allocation,” The Journal of Portfolio Management, Vol. 24, No. 3, pp. 41-48. 7.Krokhmal, P., J. Palmquist, and S. Uryasev,（2002）, “Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints,” Journal of Risk, Vol. 4, pp.43–68. 8.Markowitz, H.,（1952）, “Portfolio Selection,” The Journal of Finance, Vol.7, No. 1, pp.77-91. 9.Markowitz, H.（1959）,Portfolio Selection: Efficient Diversification of Investments, New York: John Wiley. 10.Rockafellar, R. T. and S. Uryasev,（2000）, “Optimization of Conditional Value-at-Risk,” Journal of Risk, Vol. 2, pp.21–42. 11.Sharpe, W. F.,（1966）, “Mutual Fund Performance,” Journal of Business, Vol. 39, No. 1, pp.119-138. 三、其他文獻 1.Understanding the fintech hype.（Rhodri Preece, CFA）September 2016, Volume 27 Issue 3. 2.金管會（2016），金融科技發展策略白皮書，頁30-35。 3.2016 資誠全球金融科技調查報告－銀行業。; U0002-0607201700412800; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114037; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/114037/1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114037
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/114037/1/index.html

المؤلفون: Hamdi, A., Khodamoradi, T., Salahi, M.

مصطلحات موضوعية: cardinality constraint, Mean-variance-CVaR model, penalty decomposition method, short selling, transaction costs

Relation: http://dx.doi.org/10.1142/S1793830923500210; http://hdl.handle.net/10576/47860

الاتاحة: http://hdl.handle.net/10576/47860
https://doi.org/10.1142/S1793830923500210

المؤلفون: Branda, Martin

المصدر: Kybernetika | 2010 Volume:46 | Number:3

الاتاحة: http://data.europeana.eu/aggregation/europeana/336/uuid_ba5cd9e3_ece5_4395_ae8c_bab1f9a206b6