On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions.
Uma RavatUday V. ShanbhagRichard B. SowersPublished in: Optim. Methods Softw. (2014)
Keyphrases
- risk management
- risk measures
- portfolio optimization
- robust optimization
- decision support system
- risk assessment
- risk analysis
- risk evaluation
- portfolio selection
- operational risk
- risk factors
- mathematical programming
- stock market
- lot sizing
- artificial intelligence
- stock price
- commercial banks
- risk averse
- financial institutions
- information security management
- case based reasoning