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On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk.
Bony Parulian Josaphat
Moch Fandi Ansori
Khreshna Syuhada
Published in:
IEEE Access (2021)
Keyphrases
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risk management
risk assessment
risk factors
risk measures
optimization algorithm
risk analysis
decision making
learning algorithm
decision support system
early warning
portfolio optimization
optimization method
global optimization
natural disasters
dependence structure
chance constraints