Kakouris, Iakovos; Rustem, Berç - In: European Journal of Operational Research 235 (2014) 1, pp. 28-37
Conditional Value at Risk (CVaR) is widely used in portfolio optimization as a measure of risk. CVaR is clearly dependent on the underlying probability distribution of the portfolio. We show how copulas can be introduced to any problem that involves distributions and how they can provide...