Kumaran, Sunitha - In: Cogent economics & finance 10 (2022) 1, pp. 1-32
risk potential in the financial markets. Despite the computational intensity of the downside risk measures, they are very … widely applied to construct a portfolio and evaluate performance in terms of the investors’ loss aversion. Value-at-risk (VaR …) has emerged as an industry standard to analyze the market downside risk potential. The approaches used to measure VaR vary …
