Portfolio optimization with conditional value-at-risk objective and constraints
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization with Conditional Value-at-risk Objective and Constraints
Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was suggested and tested with several applications. For continuous distributions, CVaR is defined as the expected loss exceeding Value-at Risk (VaR). However, generally, CVaR is the weighted average of VaR and losses exceeding VaR. Central to the approach is an optimization technique for calculating VaR and optimizing...
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ژورنال
عنوان ژورنال: The Journal of Risk
سال: 2001
ISSN: 1465-1211
DOI: 10.21314/jor.2002.057