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Autoregressive conditional dynamic semivariance models with value-at-risk estimates
A variant of the autoregressive conditional heteroscedastic (ARCH) process called as autoregressive conditional dynamic semivariance process (ARCDS)...
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Multi-period portfolio selection with interval-based conditional value-at-risk
We propose a multi-period mean-risk portfolio model based as a risk measure on the interval conditional value at risk (ICVaR). The ICVaR was...
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Managing customer waiting times in an inventory system using Conditional Value-at-Risk measure
In today’s fast-paced world, delays or prolonged customer waiting times pose a threat to the firm’s profitability. This study utilizes the mean-CVaR...
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Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
We present an optimization problem to determine the minimum capital requirement for a non-life insurance company. The optimization problem imposes a...
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Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market...
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Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall
Although quantile regression to calculate risk measures is widely established in the financial literature, when considering data observed at...
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Implied value-at-risk and model-free simulation
We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset. We develop...
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Conditional shortfall risk of lifetime consumption
This paper explores options to generate Markowitz efficient frontiers, from which a suitable portfolio is recommended to retirees. The risk measures...
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Recurrent double-conditional factor model
In economic applications, the behavior of objects (e.g., individuals, firms, or households) is often modeled as a function of microeconomic and/or...
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Robust scheduling in a two-machine re-entrant flow shop to minimise the value-at-risk of the makespan: branch-and-bound and heuristic algorithms based on Markovian activity networks and phase-type distributions
This paper addresses a two-machine re-entrant flow shop scheduling problem with stochastic processing times where each job is expected to require a...
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Supply chain risk network value at risk assessment using Bayesian belief networks and Monte Carlo simulation
Several techniques have been proposed in supply chain risk management to capture causality among risks in a network setting and prioritize risks...
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Data Ingestion Validation Through Stable Conditional Metrics with Ranking and Filtering
We introduce an advanced method for validating data quality, which is crucial for ensuring reliable analytics insights. Traditional data quality...
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The governing role of board gender diversity on conditional accounting conservatism and executive remuneration: performance-based versus equity-based remunerations
This study examines the governing role of gender diversity on the board of directors on conditional accounting conservatism and executive...
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A Parsimonious Tree Augmented Naive Bayes Model for Exploring Colorectal Cancer Survival Factors and Their Conditional Interrelations
Effective management of colorectal cancer (CRC) necessitates precise prognostication and informed decision-making, yet existing literature often...
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Relevance of debt- and tax-related motives for conditional conservatism of limited-liability and full-liability firms: evidence from Europe
In contrast to shareholders of limited-liability firms, the owners of sole proprietorships and partnerships are fully liable for their firm’s...
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Designing higher value roads to preserve species at risk by optimally controlling traffic flow
The construction and operation of linear infrastructure has major impacts on biodiversity through loss of habitat, increased mortality and loss of...
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Conditional Asset Pricing
Conditional asset pricing studies predictability in the returns of financial assets, and the ability of asset pr\icing models to explain this...
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Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
A new computational approach based on the pointwise regularity exponent of the price time series is proposed to estimate Value at Risk. The forecasts...
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Conditional Performance Evaluation
Measures for evaluating the performance of a mutual fund or other managed portfolio are interpreted as the difference between the average return of...
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Impact of Inter and Intra Organizational Factors in Healthcare Digitalization: a Conditional Mediation Analysis
Digitalization of the healthcare industry is a major trend and focus worldwide. It has the capability to improve the quality of care, reduce costs,...
