Optimal Dynamic Portfolio with Mean-CVaR Criterion
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the me...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2013-11-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/1/3/119 |