Browsing by Keywords "Conditional Value-at-Risk"
Now showing items 1-4 of 4
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On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
(Springer New York LLC, 2018)Effect of the availability of a riskless asset on the performance of naïve diversification strategies has been a controversial issue. Defining an investment environment containing both ambiguous and unambiguous assets, we ... -
Risk-averse multi-class support vector machines
(Bilkent University, 2018-12)A classification problem aims to identify the class of new observations based on the previous observations whose classes are known. It has many applications in a variety of disciplines such as medicine, finance and ... -
Robust portfolio optimization with risk measures under distributional uncertainty
(Bilkent University, 2016-07)In this study, we consider the portfolio selection problem with different risk measures and different perspectives regarding distributional uncertainty. First, we consider the problem of optimal portfolio choice using the ... -
Stochastic shelter site location under multi-hazard scenarios
(Bilkent University, 2018-06)In some cases, natural disasters happen successively (e.g. a tsunami following an earthquake) in close proximity of each other, even if they are not correlated. This study locates shelter sites and allocates the a ected ...