Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.

Stoyan V. Stoyanov Svetlozar T. Rachev Frank J. Fabozzi

Published in: Ann. Oper. Res. (2013)

Keyphrases

portfolio selection
portfolio optimization
robust optimization
risk measures
var model
portfolio management
investment strategies
sharpe ratio
transaction costs
decision making
sensitivity analysis
real time
learning algorithm
non stationary
bi objective
stock index futures