文件名称：optimization of Conditional Value-at-Risk.pdf
文件大小：236KB
文件格式：PDF
更新时间：2023-11-12 07:20:42
CVAR
A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-at-Risk (VaR)