Cuoco, Domenico; He, Hua; Issaenko, Sergei - Swiss Finance Institute - 2001
Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios.Yet,existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular,VaR...