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Portfolio Optimization with a Copula-Based Extension of Conditional Value-at-Risk
Company: Annals of Operations Research
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: May
Resource Link: Click here to open
Download Count: 0
View Count: 1465
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 5-26-2014
Publisher: Administrator
Summary
The paper presents a copula-based extension of Conditional Value-at-Risk and its application to portfolio optimization. Copula-based conditional value-at-risk (CCVaR) is a scalar risk measure for multivariate risks modeled by multivariate random variables. It is assumed that the univariate risk components are perfect substitutes, i.e., they are expressed in the same units. CCVaR is a quantile risk measure that allows one to emphasize the consequences of more pessimistic scenarios. By changing the level of a quantile, the measure permits to parameterize prudent attitudes toward risk ranging from the extreme risk aversion to the risk neutrality.
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Author(s)
Krzemienowski, Adam Sign in to follow this author
Szymczyk, Sylwia Sign in to follow this author
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