Abstract
The value-at-risk (VaR) and the conditional value-at-risk (CVaR) are two commonly used risk measures. We state some of their properties and make a comparison. Moreover, the structure of the portfolio optimization problem using the VaR and CVaR objective is studied.
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© 2000 Springer Science+Business Media Dordrecht
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Pflug, G.C. (2000). Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk. In: Uryasev, S.P. (eds) Probabilistic Constrained Optimization. Nonconvex Optimization and Its Applications, vol 49. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-3150-7_15
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DOI: https://doi.org/10.1007/978-1-4757-3150-7_15
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4419-4840-3
Online ISBN: 978-1-4757-3150-7
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