Mixed value-at-risk and its numerical investigation

DOI10.1016/j.physa.2019.123524OpenAlexW2995948328MaRDI QIDQ2137621

Amita Sharma, Anubha Goel

Publication date: 16 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123524

zbMATH Keywords

value-at-riskportfolio selectionmixed conditional value-at-riskdeviation risk measuremixed value-at-risk

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (2)

Portfolio optimization using higher moments in an uncertain random environment ⋮ Unnamed Item

Uses Software

• PerformanceAnalytics
• FinTS

Cites Work

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• Tail dependence functions and vine copulas
• Multiple criteria linear programming model for portfolio selection
• Mean-VaR portfolio optimization: a nonparametric approach
• Vines -- a new graphical model for dependent random variables.
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Conditional value at risk and related linear programming models for portfolio optimization
• Generalized deviations in risk analysis
• Coherent Measures of Risk
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Analysis of Financial Time Series

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