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  • Portfolio Risk Management with CVAR-Like Constraints
    Markowitz [1952] discusses the tradeoff between the mean and variance of a portfolio. Since then, especially ... constraints to the traditional portfolio optimization problem. The CVaR optimization technique has the advantage ...

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    • Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
    • Date: Jan 2008
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Topics: Enterprise Risk Management>Portfolio management - ERM