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Numerical Comparison of CVaR and CDaR Approaches: Application to Hedge Funds
Company: The Stochastic Programming Approach to Asset, Liability and Wealth Managment, W. Ziemba (Ed.)
Year Of Publication: 2003
Month Of Publication: January
Pages: 25
Download Count: 803
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 2-11-2006
Publisher: Administrator
Summary
This paper applies risk management methodologies to optimization of a portfolio of hedge funds. We compare two recently developed risk management methodologies: Conditional Value-at-Risk and Conditional Drawdown-at-Risk. They admit the formulation of a portfolio optimization model as a linear programming problem.
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Krokhmal, Pavlo Sign in to follow this author
Uryasev, Stanislav Sign in to follow this author
Zrazhevsky, Grigory Sign in to follow this author
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