Conditional Value At Risk Cvar
Mostrando 13-16 de 16 artigos, teses e dissertações.
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13. Otimização e geração de cenários aplicadas à contratação de energia elétrica.
A sustentabilidade de um setor de infra-estrutura no longo prazo depende da capacidade dos seus agentes de atuarem de maneira responsável, controlando a rentabilidade e os riscos associados às suas operações e, ainda, do governo e dos órgãos reguladores, gerando um ambiente estável e competitivo. O presente trabalho faz uma revisão do setor elétrico
Publicado em: 2008
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14. Power allocation in wireless communication systems : stochastic via CVaR and robust approaches / Alocação de potencia em sistemas de comunicações sem fio : abordagens estocastica via o CVaR e robusta
This thesis deals with the power allocation problem under the stochastic and robust approaches, where the channel gains describe the wireless communication system state and are partially known by the controller. The stochastic approach considers the channel gains as random variables which represent the fast fading of the radio signal. Under these settings, t
Publicado em: 2007
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15. Market risk: comparative analysis of methods of mensuration of applied risk to the brazilian market / Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro
The present work search to analyze the behavior of the models of mensuration of market risk VaR and CVaR for in the Brazilian market of actions, calculated by the methodology of the historical simulation, GARCH, Riskmetrics and Normal. They were used as sample the data empiric of PETR4, TNLP4, VALE5, USIM5 and CSNA3, that understands the mail carrier of the
Publicado em: 2006
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16. OTIMIZAÇÃO DE PORTFÓLIO DE CONTRATOS DE ENERGIA EM SISTEMAS HIDROTÉRMICOS COM DESPACHO CENTRALIZADO / PORTFOLIO OPTIMIZATION OF ENERGY CONTRACTS IN HYDROTHERMAL SYSTEMS WITH CENTRAL DISPATCH
Portfolio optimization has been widely used to select investments in the financial area. The first proposal in this topic was the Markowitz mean-variance approach, which uses, respectively, the mean and the variance as measures of portfolio return and risk. Since Markowitz many other approaches, which adopt alternative risk measures, have been proposed, e.g.
Publicado em: 2004