Comparison of VaR and CVaR criteria

DOI10.1023/A:1024794420632zbMATH Open1115.91332OpenAlexW1514176739MaRDI QIDQ2487628FDOQ2487628

Authors: A. I. Kibzun, V. N. Vagin 

Publication date: 8 August 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024794420632

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Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Cited In (9)

• Algorithm to solve the generalized Markowitz problem
• Differential equations connecting VaR and CVaR
• The Use of Ratios to Compare Volatilities and VaRs
• A two-step capital variation model: optimization by different statistical criteria
• Stochastic quasigradient algorithm to minimize the function of integral quantile
• Equivalence of the problems with quantile and integral quantile criteria
• Financial engineering and continuous VaR-criterion in the option market
• The diversification of currency loans: A comparison between safety-first and mean-variance criteria
• Application of the continuous VaR criterion in financial markets

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