Concept

Entropic value at risk

Related publications (47)

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Portfolio optimization of hydroelectric assets subject to financial indicators

Nikolaos Iliadis, Simon Granville

The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedur ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2007

Monotone and Cash-Invariant Convex Functions and Hulls

Damir Filipovic

This paper provides some useful results for convex risk measures. In fact, we consider convex functions on a locally convex vector space E which are monotone with respect to the preference relation implied by some convex cone and invariant with respect to ...

2007

A Light Formulation of the E* Interpolated Path Replanner

Roland Philippsen

The E* algorithm is a path planning method capable of dynamic replanning and user-configurable path cost interpolation, it results in more appropriate paths during gradient descent. The underlying formulation is based on interpreting navigation functions a ...

2006

Bayesian risk analysis of financial time series

Christophe Osinski

This thesis is a contribution to financial statistics. One of the principal concerns of investors is the evaluation of portfolio risk. The notion of risk is vague, but in finance it is always linked to possible losses. In this thesis, we present some measu ...

EPFL2006

RISK21 - Coping with Risk due to Natural Hazards in the 21st Century

Laurent Vulliet

To be able to take effective and efficient decisions leading to transparent and comparable results between different risk situations, a consistent and systematic risk management process has to be followed (in this context called “integral risk management”) ...

Taylor & Francis2006

Nonpoint source transport models from empiricism to coherent theoretical frameworks

Andrea Rinaldo, Enrico Bertuzzo, Gianluca Botter

Basin-scale transport of reactive solute species is studied through a class of stochastic models, termed mass response functions, which incorporate simplified concepts of chemical, physical or biological nonequilibrium kinetics into the theory of the hydro ...

2005

La négociation des risques technologiques

Marc Audétat

This thesis considers technological risks and their constitution as public problems. It supports that the main difference among risks is not to see between proved risks and uncertain risks, on the basis of the objective knowledge, but rather separates risk ...

EPFL2004