Analysis of criteria VaR and CVaR

Journal of Banking and Finance

Volumn 30, Issue 2, 2006, Pages 779-796

  Kibzun, Andrey I ^a   Kuznetsov, Evgeniy A ^a  

^a MOSCOW AVIATION INSTITUTE NATIONAL RESEARCH UNIVERSITY   (Russian Federation)

Author keywords

Conditional Value at Risk (Integeral quantile function); Convexity of VaR and CVaR; Criteria for decision making under risk; Portfolio selection; Stochastic programming; Value at Risk (Quantile function)

Indexed keywords

EID: 32944463619     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.04.003     Document Type: Article

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