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Analysis of criteria VaR and CVaR

✍ Scribed by Andrey I. Kibzun; Evgeniy A. Kuznetsov

Book ID
116614641
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
221 KB
Volume
30
Category
Article
ISSN
0378-4266

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## Abstract In this paper, we consider the sample estimators for the expected return, the variance, the value-at-risk (VaR), and the conditional VaR (CVaR) of the minimum VaR and the minimum CVaR portfolio. Their exact distributions are derived. These expressions are used for studying the distribut