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  1. optimization of conditional value-at-risk.pdf

  2. Rockafellar, R. , & Uryasev, S. (20 0 0). Optimization of conditional value-at-risk. Jour- nal of Risk, 2 , 21–41 .

  3. 所属分类：金融

    • 发布日期：2020-09-27
    • 文件大小：1000448
    • 提供者：qq_18822147

  1. optimization of Conditional Value-at-Risk.pdf

  2. A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-at-Risk (VaR)

  3. 所属分类：金融

    • 发布日期：2020-10-22
    • 文件大小：241664
    • 提供者：qq_18822147