Matches in SemOpenAlex for { <https://semopenalex.org/work/W1569020402> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W1569020402 abstract "In this paper, we analyze the implications arising from imposing a Conditional Value-at-Risk (CVaR)constraint in an agent's portfolio selection problem, and compare them with those arising from the imposition of a Value-at-Risk (VaR) constraint. For a given confidence level, a CVaR constraint is tighter than a VaR constraint is the CVaR and VaR bounds coincide. Consequently, a CVaR constraint is more effective than a VaR constraint as a tool to control slightly risk-averse agents, but has a perverse effect in that it may force highly risk-averse agents to select portfolios with larger standard deviations. While this effect may also occur with the use of a VaR constraint, it is even more perverse and more likely to occur with a CVaR constraint. However, when the CVaR bound is appropriately larger than the VaR bound, a CVaR constraint 'dominates' a VaR constraint as a risk management tool." @default.
- W1569020402 created "2016-06-24" @default.
- W1569020402 creator A5028054646 @default.
- W1569020402 creator A5088977203 @default.
- W1569020402 date "2003-01-01" @default.
- W1569020402 modified "2023-09-23" @default.
- W1569020402 title "CVaR as a Measure of Risk: Implications for Portfolio Selection" @default.
- W1569020402 doi "https://doi.org/10.2139/ssrn.424348" @default.
- W1569020402 hasPublicationYear "2003" @default.
- W1569020402 type Work @default.
- W1569020402 sameAs 1569020402 @default.
- W1569020402 citedByCount "22" @default.
- W1569020402 countsByYear W15690204022012 @default.
- W1569020402 countsByYear W15690204022016 @default.
- W1569020402 countsByYear W15690204022017 @default.
- W1569020402 countsByYear W15690204022019 @default.
- W1569020402 crossrefType "journal-article" @default.
- W1569020402 hasAuthorship W1569020402A5028054646 @default.
- W1569020402 hasAuthorship W1569020402A5088977203 @default.
- W1569020402 hasConcept C106159729 @default.
- W1569020402 hasConcept C124101348 @default.
- W1569020402 hasConcept C144133560 @default.
- W1569020402 hasConcept C149782125 @default.
- W1569020402 hasConcept C154945302 @default.
- W1569020402 hasConcept C162118730 @default.
- W1569020402 hasConcept C162324750 @default.
- W1569020402 hasConcept C2779922397 @default.
- W1569020402 hasConcept C2780009758 @default.
- W1569020402 hasConcept C2780821815 @default.
- W1569020402 hasConcept C2781472820 @default.
- W1569020402 hasConcept C41008148 @default.
- W1569020402 hasConcept C5496284 @default.
- W1569020402 hasConcept C69257216 @default.
- W1569020402 hasConcept C81917197 @default.
- W1569020402 hasConcept C9725762 @default.
- W1569020402 hasConceptScore W1569020402C106159729 @default.
- W1569020402 hasConceptScore W1569020402C124101348 @default.
- W1569020402 hasConceptScore W1569020402C144133560 @default.
- W1569020402 hasConceptScore W1569020402C149782125 @default.
- W1569020402 hasConceptScore W1569020402C154945302 @default.
- W1569020402 hasConceptScore W1569020402C162118730 @default.
- W1569020402 hasConceptScore W1569020402C162324750 @default.
- W1569020402 hasConceptScore W1569020402C2779922397 @default.
- W1569020402 hasConceptScore W1569020402C2780009758 @default.
- W1569020402 hasConceptScore W1569020402C2780821815 @default.
- W1569020402 hasConceptScore W1569020402C2781472820 @default.
- W1569020402 hasConceptScore W1569020402C41008148 @default.
- W1569020402 hasConceptScore W1569020402C5496284 @default.
- W1569020402 hasConceptScore W1569020402C69257216 @default.
- W1569020402 hasConceptScore W1569020402C81917197 @default.
- W1569020402 hasConceptScore W1569020402C9725762 @default.
- W1569020402 hasLocation W15690204021 @default.
- W1569020402 hasOpenAccess W1569020402 @default.
- W1569020402 hasPrimaryLocation W15690204021 @default.
- W1569020402 hasRelatedWork W1915673242 @default.
- W1569020402 hasRelatedWork W2037997579 @default.
- W1569020402 hasRelatedWork W2158771116 @default.
- W1569020402 hasRelatedWork W2357809930 @default.
- W1569020402 hasRelatedWork W2376859938 @default.
- W1569020402 hasRelatedWork W2589738636 @default.
- W1569020402 hasRelatedWork W2905390215 @default.
- W1569020402 hasRelatedWork W3122337495 @default.
- W1569020402 hasRelatedWork W3172996292 @default.
- W1569020402 hasRelatedWork W618881031 @default.
- W1569020402 isParatext "false" @default.
- W1569020402 isRetracted "false" @default.
- W1569020402 magId "1569020402" @default.
- W1569020402 workType "article" @default.