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Coherent risk measures under filtered historical simulation
(Elsevier, 2005-04)
Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...
Portfolio selection under VaR constraints
(Springer-Verlag, 2005-03)
In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem ...