Essays about: "cVaR"
Showing result 26 - 26 of 26 essays containing the word cVaR.
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26. Comparing Mean-Variance and CVaR optimal portfolios, assuming bivariate skew-t distributed returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this paper we are building portfolios consisting of the S&P 500 index and a T-bond index. The portfolio weights are chosen in such a way that the risk for the portfolio is minimized. To be able to minimize the risk for a portfolio, we first have to specify how to measure the portfolios risk. READ MORE