2 search results - page 1 / 1 » Proper Conditioning for Coherent VaR in Portfolio Management |
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Voted
MANSCI
2007
14 years 10 months ago
2007
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...
MANSCI
2008
14 years 10 months ago
2008
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....