The aim of this paper is to analyze the merits of using the Value At Risk method in estimating the risk associated with investments in metallurgical sector companies. The paper presents how to construct the model, various methods of its estimation and their advantages and disadvantages. In the...

We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ellipsoidal, polytopic, and interval ambiguity sets of the means and...

We scrutinize the use of value at risk as traders' limit in banks. Thereby, we compare a bank with uninformed traders dealing on a perfect capital market, with a bank in which traders receive a noisy signal about the future price of the stock they are dealing in. Additionally, they are able to...