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Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical
Year Of Publication: 2014
Month Of Publication: June
Resource Link: Click here to open
Pages: 13
Download Count: 0
View Count: 1539
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-5-2014
Publisher: Administrator
In this paper we propose a new coherent risk measure, Entropic Value-at-Risk in the portfolio optimization problem. For certain models, including jump-diffusion distribution, this risk measure yields an explicit formula for the objective function so optimization can be solved without resorting to numerical approximation.
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Firouzi, Hassan Omidi Sign in to follow this author
Luong, Andrew Sign in to follow this author
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