Giannopoulos, Kostas; Clark, Ephraim; Tunaru, Radu - In: Computational Management Science 2 (2005) 2, pp. 123-138
In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits … portfolio selection and propose an innovative methodology using conditional VaR that minimizes the VaR at each point of the …