Risk-Based Allocation of Demand Response Resources Using Conditional Value-at Risk (CVaR) Assessment
نویسندگان
چکیده
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Conditional Value-at-Risk (CVaR) Norm: Stochastic Case
The concept of Conditional Value-at-Risk (CVaR) is used in various applications in uncertain environment. This paper introduces CVaR norm for a random variable, which is by de nition CVaR of absolute value of this random variable. It is proved that CVaR norm is indeed a norm in the space of random variables. CVaR norm is de ned in two variations: scaled and non-scaled. L-1 and L-in nity norms a...
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ژورنال
عنوان ژورنال: Journal of Electrical Engineering and Technology
سال: 2014
ISSN: 1975-0102
DOI: 10.5370/jeet.2014.9.3.789