Birbil, S.I.; Frenk, J.B.G.; Kaynar, B.; Noyan, N. - Erasmus University Rotterdam, Econometric Institute - 2008
particular, we model the risk by using Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). After reviewing the main … minimal risk, provided that
a prescribed expected return level is attained. In particular, we model the risk by using Value …-at-
Risk (VaR) and Conditional Value-at-Risk (CVaR). After reviewing the main properties of VaR
and CVaR, we present short …