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 the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is replaced by CVaR. Based on the complete market assumption, we give an analytical solution in general. The novelty of our solution is that it is no longer the Neyman–Pearson type, in which the final optimal portfolio takes only two values. Instead, in the case in w...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures...
In times of great insecurity and turbulence on every major stock exchange, it is evident that contro...
Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, in...
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantag...
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantag...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk...
ABSTRACT Several approaches exist to model decision making under risk, where risk can be broadly def...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
We study the optimal portfolio allocation problem from a Bayesian perspective using value at risk (V...
Abstract. Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures...
In times of great insecurity and turbulence on every major stock exchange, it is evident that contro...
Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, in...
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantag...
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantag...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk...
ABSTRACT Several approaches exist to model decision making under risk, where risk can be broadly def...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
We study the optimal portfolio allocation problem from a Bayesian perspective using value at risk (V...
Abstract. Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures...
In times of great insecurity and turbulence on every major stock exchange, it is evident that contro...