Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive—empirical— ...
Sep 2, 2008 · Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive ...
Jun 20, 2007 · Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive ...
Sep 2, 2008 · Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive ...
The aim of this paper is to chose in favour or against the use of VaR but to add some more information to this discussion, especially from the estimation point ...
In this paper we develop an asset allocation model which allocates assets by maximising expected return subject to the constraint that the expected maximum ...
Missing: optimization. | Show results with:optimization.
Value-at-Risk, despite being adopted as the standard risk measure in finance, suffers severe objections from a practical point of view, due to a lack of ...
Oct 25, 2007 · Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive ...
Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive— empirical— ...
Nov 4, 2019 · Conditional Value at Risk (CVaR) is a popular risk measure among professional investors used to quantify the extent of potential big losses.