Short-Term Investment Risk Measurement Using VaR and CVaR.
Virgilijus SakalauskasDalia KriksciunienePublished in: International Conference on Computational Science (4) (2006)
Keyphrases
- short term
- risk measures
- long term
- risk averse
- risk aversion
- portfolio optimization
- portfolio management
- short term and long term
- robust optimization
- stock market
- risk neutral
- long term memory
- load forecasting
- decision making
- short and long term
- forecasting model
- investment decisions
- var model
- portfolio selection
- utility function
- power generation
- motion prediction
- least squares
- decision makers
- medium term