Browsing by Subject "Conditional value-at-risk"
Now showing items 1-3 of 3
-
Working Paper Open Access
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
-
Article
Stability analysis of portfolio management with conditional value-at-risk
(2007)We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure
-
Article
Stability analysis of portfolio management with conditional value-at-risk
(2007)We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure