CoVaR-based portfolio selection
Optimization and Control
2017-03-07 v1
Abstract
We consider the portfolio optimization with risk measured by conditional value-at-risk, based on the stress event of chosen asset being equal to the opposite of its value-at-risk level, under the normality assumption. Solvability conditions are given and illustrated by examples.
Keywords
Cite
@article{arxiv.1703.01465,
title = {CoVaR-based portfolio selection},
author = {Anna Zalewska},
journal= {arXiv preprint arXiv:1703.01465},
year = {2017}
}
Comments
6 figures of which five create one bigger figure, 13 pages