Essays about: "cVaR"

Showing result 26 - 26 of 26 essays containing the word cVaR.

  1. 26. Comparing Mean-Variance and CVaR optimal portfolios, assuming bivariate skew-t distributed returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Peter Wohlfart; Marcus Nossman; [2005]
    Keywords : mean-variance; CVaR; portfolios; skew-t; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : 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