Computational aspects of minimizing conditional value-at-risk
✍ Scribed by Alexandra Künzi-Bay; János Mayer
- Publisher
- Springer-Verlag
- Year
- 2006
- Tongue
- English
- Weight
- 189 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1619-697X
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## Abstract We propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return
In this paper, we prove an exponential rate of convergence result for a common estimator of conditional value-at-risk for bounded random variables. The bound on optimistic deviations is tighter while the bound on pessimistic deviations is more general and applies to a broader class of convex risk me