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Conditional value-at-risk in portfolio optimization: Coherent but fragile · Study

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ArticleConditional value-at-risk in portfolio optimization: Coherent but fragile

Andrew E. B. Lim2011

Article2011

Conditional value-at-risk in portfolio optimization: Coherent but fragile

Andrew E. B. Lim · Jeyaveerasingam George Shanthikumar · Gah‐Yi Vahn

138 citations·0/0 files stored·Operations Research Letters

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1980On estimating the expected return on the market 2002On the coherence of expected shortfall 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?2002Stochastic Finance: An Introduction in Discrete Time

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Year2011

Typearticle

Published2011-04-15

VenueOperations Research Letters

ISSN-L0167-6377

Languageen

Citations138

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.orl.2011.03.004

openalex_workW2016139756

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2018Multi-period portfolio selection with drawdown control

2018Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances