TY - GEN
T1 - Conditional Value-at-Risk
T2 - IEEE/IAFE/INFORNS 2000: 6th Conference on Computational Intelligence for Financial Engineering (CIFEr)
AU - Uryasev, Stanislav
PY - 2000
Y1 - 2000
N2 - A new approach for the simultaneous calculation of Value-at-Risk (VaR) and optimization of Conditional Value-at-Risk (CVaR) for a broad class of problems is presented. It is shown that CVaR can be efficiently minimized using linear programming (LP) techniques. Although, formally, the method minimizes only CVaR, it also lowers VaR.
AB - A new approach for the simultaneous calculation of Value-at-Risk (VaR) and optimization of Conditional Value-at-Risk (CVaR) for a broad class of problems is presented. It is shown that CVaR can be efficiently minimized using linear programming (LP) techniques. Although, formally, the method minimizes only CVaR, it also lowers VaR.
UR - https://www.scopus.com/pages/publications/0033731507
M3 - Conference contribution
AN - SCOPUS:0033731507
SN - 0780364295
T3 - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
SP - 49
EP - 57
BT - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
PB - IEEE
Y2 - 26 March 2000 through 28 March 2000
ER -