Estimating Allocations for Value-at-Risk Portfolio Optimzation

Oulidi, Abder; Charpentier, Arthur

doi:10.2139/ssrn.1023911

Cited by 1 publication

(1 citation statement)

References 43 publications

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“…VaR and CVaR are evaluated considering the subjective preference and a large amount of distribution data. Decision making can be assisted by adjusting the preference, i.e., the confidence level in this paper, to predict the outcomes under different ideas, and also to give remedies for unfavorable situations that have already occurred [35,36]. Alejandro et al conducted VaR and CVaR analyses for finance (optimal investment) and insurance (optimal reinsurance) to prove their practical effectiveness [37].…”

Section: Var-and Cvar-based Risk Assessmentmentioning

confidence: 99%

Duration and Labor Resource Optimization for Construction Projects—A Conditional-Value-at-Risk-Based Analysis

Ding,

Liu,

Hsiang

et al. 2024

Buildings

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The complexity and uncertainty of construction projects contribute to low efficiency in the construction industry. This research applied the Takt-time planning method to optimize the construction working process, and proposed a risk control framework based on Value at Risk (VaR) and Conditional Value at Risk (CVaR) approaches to explore and predict a project schedule and cost performance under different scenarios. This research selected a high-rise residential building project for a case study and collected 1672 productivity data samples. Arena Simulation models were established based on 90 combinations of labor assignments to assess Takt-time planning strategies’ impact on project performance in four scenarios. The VaR and CVaR evaluations at 75% and 90% confidence levels were compared to balance project benefits and risks. Without any overtime or additional workers, this research found a Takt-time planning method that can reduce the project duration by 20.2% and labor costs by 2.1% at the same time, using a labor assignment of 12 bar placers, 12 carpenters, and 5 pipefitters. The findings can assist construction managers to achieve a shorter duration, reduced cost, and safer work environment, which will be very effective and beneficial to improve project overall performance.

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Section: Var-and Cvar-based Risk Assessmentmentioning

confidence: 99%