Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Subject "Conditional value-at-risk"
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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 ...
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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