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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Journal of Economic Dynamics and Control, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Moris S. Strub +3 more
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Portfolio optimization using CVaR
2020In this study we present the various types of financial risks and the most popular risk measures. We also explore the different types of derivatives and how it can be used to reduce the risks associated with changes in foreign exchange rates, interest rates, and commodity prices.
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Equal Risk Contribution portfolios for CVaR and CVaR-deviation risk measures [PDF]
, 2018 Equal Risk Contribution (ERC), also called Risk Parity (RP), is a strategy for asset allocation that aims at equally sharing the risk among all the assets of the selected portfolio. In this paper we propose new developments of the ERC approach using Conditional Value-at-Risk (CVaR) and CVaR-Deviation as risk measures.
Francesco Cesarone, Stefano Colucci
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Dynamic CVaR with multi-period risk problems
Journal of Systems Science and Complexity, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Meng, Zhiqing, Jiang, Min, Hu, Qiying
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Optimal consumption—portfolio problem with CVaR constraints
Chaos, Solitons & Fractals, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhang, Qingye, Gao, Yan
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Moment-Based CVaR Estimation: Quasi-Closed Formulas
SSRN Electronic Journal, 2011The evaluation of quantiles (or VaR, Value at Risk) and that of CVaR, Conditional Value at Risk in risk management (or mean excess in actuarial sciences) is a very crucial point in the decision processes. Indeed, there are often great difficulties (or impossibilities) in finding the kind of distribution followed by the key random variable (r.v ...
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CVaR norm and applications in optimization
Optimization Letters, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pavlikov, Konstantin, Uryasev, Stan
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2018
In order to solve mean variance model with the conditional value at risk (CVaR), an improvement PSO with the generalized learning and the hybrid mutation of dynamic cauchy and the normal cloud model (PSOHM) is proposed to increase the diversity of the population.
Liu Yanmin +4 more
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In order to solve mean variance model with the conditional value at risk (CVaR), an improvement PSO with the generalized learning and the hybrid mutation of dynamic cauchy and the normal cloud model (PSOHM) is proposed to increase the diversity of the population.
Liu Yanmin +4 more
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Multiperiod Mean-CVaR Portfolio Selection
2015Due to the time inconsistency issue of multiperiod mean-CVaR model, two important policies of the model with finite states, the pre-committed policy and the time consistent policy, are derived and discussed. The pre-committed policy, which is global optimal for the model, is solved through linear programming.
Xiangyu Cui, Yun Shi
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Robust CVaR Portfolio Management
2008In order to evaluate and compare the advantages related with the use of the robust counterpart of three models of portfolio selection, we performed an implementation of the models both in a robust and a non-robust way. The comparison is done through an ex-post analysis on the results obtained by the ex-ante implementation of each model in selecting ...
CESARI, RICCARDO, QUARANTA, ANNA GRAZIA
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