Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk
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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.
KeywordsRisk measures Value-at-Risk Conditional Value-at-Risk Portfolio optimization
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