Analysis of criteria VaR and CVaR

Кибзун, А. И.; Kuznetsov, E. A.

doi:10.1016/j.jbankfin.2005.04.003

Cited by 26 publications

(8 citation statements)

References 8 publications

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“…Rockafellar and Uryasev described the properties and application of CVaR in detail. For connection and difference between CVaR and VaR, we refer to Kibzun and Kuznetsov (2006).…”

Section: Literature Reviewmentioning

confidence: 99%

WITHDRAWN: Risk-averse newsvendor with deferred payment under the η-CVaR criterion

Chen

Fang

2015

Transportation Research Part E: Logistics and Transportation Re

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“…Rockafellar and Uryasev described the properties and application of CVaR in detail. For connection and difference between CVaR and VaR, we refer to Kibzun and Kuznetsov (2006).…”

Section: Literature Reviewmentioning

confidence: 99%

WITHDRAWN: Risk-averse newsvendor with deferred payment under the η-CVaR criterion

Chen

Fang

2015

Transportation Research Part E: Logistics and Transportation Re

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“…At the same time, the differences of VaR, CVaR and standard deviation as risk measures were compared. Kibzun and Kuznetsov (2006) compared the standards of VaR and CVaR and identified the links between them. Topaloglou et al (2008) used CVaR as a risk measure to solve the international portfolio selection problem under the stochastic programming model.…”

Section: Shrinkage Estimationmentioning

confidence: 99%

Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review

Sun¹,

Liu

et al. 2019

JRFM

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The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the characteristics of financial data, commonly used models of portfolio selection, and portfolio risk measurement. In the summary of the characteristics of financial data, we summarize the literature on fat tail and dependence characteristic of financial data. In the portfolio selection model part, we cover three models: mean-variance model, global minimum variance (GMV) model and factor model. In the portfolio risk measurement part, we first classify risk measurement methods into two categories: moment-based risk measurement and moment-based and quantile-based risk measurement. Moment-based risk measurement includes time-varying covariance matrix and shrinkage estimation, while moment-based and quantile-based risk measurement includes semi-variance, VaR and CVaR.

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“…To consider the potential losses ignored by VaR, many improved modifications have been investigated, including the most commonly used measure termed as Conditional VaR (CVaR) [20]. Specifically, CVaR aims to investigate the expected losses that occur beyond the VaR threshold and has been extensively studied in the research field [21][22][23].…”

Section: Introductionmentioning

confidence: 99%

Formulation of the Non-Parametric Value at Risk Portfolio Selection Problem Considering Symmetry

et al. 2020

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In this research, we study the non-parametric portfolio selection problem with Value at Risk (VaR) minimization and establish a new enhanced Mixed Integer Linear Programming (MILP) formulation to obtain the optimal solutions considering the symmetric property of VaR. We identify that the new MILP formulation can significantly reduce the computation burden of the MILP solver CPLEX. To solve larger-scale practical portfolio selection problems in reasonable computation time, we also develop the Particle Swarm Optimization (PSO) algorithm integrating an efficient Fast Feasible Solution Detection (FFSD) scheme to obtain the near-optimal solutions. Using the simulated datasets with different distribution parameters and skewness and kurtosis patterns, some preliminary numerical results are provided to show the efficiency of the new formulation and FFSD scheme.

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Analysis of criteria VaR and CVaR

Cited by 26 publications

References 8 publications

WITHDRAWN: Risk-averse newsvendor with deferred payment under the η-CVaR criterion

WITHDRAWN: Risk-averse newsvendor with deferred payment under the η-CVaR criterion

Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review

Formulation of the Non-Parametric Value at Risk Portfolio Selection Problem Considering Symmetry

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