Risk management techniques in portfolio optimization : weighted conditional value at risk.
LP computable risk measures can be solved using LP solver and become more popular recently. CVaR is a LP computable risk measure, it is the tightest convex approximation of VaR. In this report, we also focus on WCVaR model, which is the weighted sum of CVaR measures at difference confidence levels....
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| Format: | Final Year Project (FYP) |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/10356/14566 |