CoVaR-based portfolio selection

Published 4 Mar 2017 in math.OC | (1703.01465v1)

Abstract: We consider the portfolio optimization with risk measured by conditional value-at-risk, based on the stress event of chosen asset being equal to the opposite of its value-at-risk level, under the normality assumption. Solvability conditions are given and illustrated by examples.

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Anna Zalewska

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