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- W2493586758 abstract "This chapter examines the major risk measures, presenting the associated optimization methods. Variance is the most simple risk measure in finance. Since the variance is by construction positive, the standard deviation defined as the square root of the variance is an equivalent risk measure. In terms of risk allocation, the Euler relationship allows a simple allocation of risk between different risk contributors. Value-at-Risk measures a risk computed on the economic value. However, A/L managers are more interested in the risk on the incomes. In the Gaussian framework, all the risk measures are equivalent: variance, VaR, Expected shortfall. The problem of portfolio allocation optimization will allow companies to maximize the portfolio expected gains under a risk constraint." @default.
- W2493586758 created "2016-08-23" @default.
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- W2493586758 date "2012-01-02" @default.
- W2493586758 modified "2023-10-14" @default.
- W2493586758 title "Technical Tools Useful in ALM" @default.
- W2493586758 doi "https://doi.org/10.1002/9781119209133.ch23" @default.
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