Proper Conditioning for Coherent VaR in Portfolio Management

DOI10.1287/MNSC.1060.0632MaRDI QIDQ3116094zbMATH OpenOpenAlexFDO

Authors René Garcia, Eric Renault, Georges Tsafack

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

coherent measures of riskdecentralized risk managementvalue at risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(13)

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

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