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Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

  • Georg Ch. Pflug
Part of the Nonconvex Optimization and Its Applications book series (NOIA, volume 49)

Abstract

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.

Keywords

Risk measures Value-at-Risk Conditional Value-at-Risk Portfolio optimization 

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References

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Copyright information

© Springer Science+Business Media Dordrecht 2000

Authors and Affiliations

  • Georg Ch. Pflug
    • 1
  1. 1.Department of Statistics and Decision Support SystemsUniversity of ViennaAustria

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