Taming Tail Risk: Regularized Multiple <i>β</i> Worst-Case CVaR Portfolio
The importance of proper tail risk management is a crucial component of the investment process and conditional Value at Risk (CVaR) is often used as a tail risk measure. CVaR is the asymmetric risk measure that controls and manages the downside risk of a portfolio while symmetric risk measures such...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-05-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/13/6/922 |