Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10000858828
Persistent link: https://www.econbiz.de/10003503916
Persistent link: https://www.econbiz.de/10001205595
Persistent link: https://www.econbiz.de/10001406972
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman-Pearson type binary solution. We add a constraint on expected return to investigate...
Persistent link: https://www.econbiz.de/10010338351
Persistent link: https://www.econbiz.de/10012803389
Persistent link: https://www.econbiz.de/10012544461
Persistent link: https://www.econbiz.de/10011825072
Persistent link: https://www.econbiz.de/10012150098
Persistent link: https://www.econbiz.de/10011778048