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- All HBS Web (6)
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- January 1997 (Revised July 1997)
- Case
Value-At-Risk
Introduces the student to the recently developed concept of value-at-risk (VAR) in risk analysis. By working through a stylized example using spreadsheet tools, the student learns the conceptual framework of VAR and its implementation mechanics. View Details
Keywords: Risk Management
Das, Sanjiv R., and Stephen E. Lynagh. "Value-At-Risk." Harvard Business School Case 297-069, January 1997. (Revised July 1997.)
- Article
Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns
By: Joel Goh, Kian Guan Lim, Melvyn Sim and Weina Zhang
We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using... View Details
Goh, Joel, Kian Guan Lim, Melvyn Sim, and Weina Zhang. "Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns." European Journal of Operational Research 221, no. 2 (September 1, 2012): 397–406.
- Article
Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs
By: Y. Grushka-Cockayne, K. C. Lichtendahl, V.R.R. Jose and R.L. Winkler
From forecasting competitions to conditional value-at-risk requirements, the use of multiple quantile assessments is growing in practice. To evaluate them, we use a rule from the general class of proper scoring rules for a forecaster’s multiple quantiles of a single... View Details
Grushka-Cockayne, Y., K. C. Lichtendahl, V.R.R. Jose, and R.L. Winkler. "Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs." Operations Research 65, no. 3 (May–June 2017): 712–728.
- Article
Total Cost Control in Project Management via Satisficing
By: Joel Goh and Nicholas G. Hall
We consider projects with uncertain activity times and the possibility of expediting, or crashing, them. Activity times come from a partially specified distribution within a family of distributions. This family is described by one or more of the following details about... View Details
Keywords: Project Management; Time And Cost Control; Robust Optimization; Satisficing; Linear Decision Rule; PERT; Management; Cost Management; Projects
Goh, Joel, and Nicholas G. Hall. "Total Cost Control in Project Management via Satisficing." Management Science 59, no. 6 (June 2013): 1354–1372.