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ArticleMinimizing CVaR and VaR for a portfolio of derivatives

Thomas F. Coleman2005

Article2005

Minimizing CVaR and VaR for a portfolio of derivatives

Thomas F. Coleman

243 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 1997An Overview of Value at Risk 1990Portfolio Selection with Transaction Costs 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 2004Risk measures for the 21st century 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12

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2020Assessment of pre and post-disaster supply chain resilience based on network structural parameters with CVaR as a risk measure 2014Reverse logistics network design and planning utilizing conditional value at risk 2010Modeling and optimization of risk 2008Optimal reinsurance with general risk measures 2012What are robust strategies in the face of uncertain climate threshold responses?2013Incorporating risk measures in closed-loop supply chain network design

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Details

Year2005

Typearticle

Published2005-09-07

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations243

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2005.04.012

openalex_workW2154756406

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2019Portfolio optimization with entropic value-at-risk

2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk