Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis
As we know, there is a belief in the finance literature that Value at Risk (VaR) and Conditional Value at Risk (CVaR) are new approaches to manage and control the risk. Regard to, value at risk is not a coherent risk measure and it is not sub-additive and convex, so, we have considered conditional v...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2017-01-01
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| Series: | Operations Research Perspectives |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214716016300665 |