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MANSCI
2007
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MANSCI 2007
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Proper Conditioning for Coherent VaR in Portfolio Management
13 years 4 months ago
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www.sceco.umontreal.ca
Value at Risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999), VaR may not possess the subadditivity property required to be a coherent measure...
René Garcia, Éric Renault, Georges T...
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