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- W2593922047 abstract "We consider the portfolio optimization with risk measured by conditional value-at-risk, based on the stress event of chosen asset being equal to the opposite of its value-at-risk level, under the normality assumption. Solvability conditions are given and illustrated by examples." @default.
- W2593922047 created "2017-03-16" @default.
- W2593922047 creator A5087476328 @default.
- W2593922047 date "2017-03-04" @default.
- W2593922047 modified "2023-09-27" @default.
- W2593922047 title "CoVaR-based portfolio selection" @default.
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- W2593922047 hasPublicationYear "2017" @default.
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