Proper Conditioning for Coherent VaR in Portfolio Management

DOI10.1287/MNSC.1060.0632zbMath1232.91620OpenAlexW2140971405MaRDI QIDQ3116094

Georges Tsafack, René Garcia, Eric Renault

Publication date: 21 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/81217fbb5282313e7249b064c4645e5b08960c7f

zbMATH Keywords

value at riskcoherent measures of riskdecentralized risk management

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (13)

On the Measurement of Economic Tail Risk ⋮ Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure ⋮ Heavy tails and copulas: limits of diversification revisited ⋮ On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails ⋮ On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? ⋮ Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios ⋮ Editorial: Latest developments on heavy-tailed distributions ⋮ Fat tails, VaR and subadditivity ⋮ A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost ⋮ Backtesting extreme value theory models of expected shortfall ⋮ Risk analysis with contractual default. Does covenant breach matter?

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