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Comparison of VaR and CVaR Criteria

✍ Scribed by A.I. Kibzun; V.N. Vagin

Book ID
111545274
Publisher
SP MAIK Nauka/Interperiodica
Year
2003
Tongue
English
Weight
153 KB
Volume
64
Category
Article
ISSN
0005-1179

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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