Browsing School of Economic Sciences and Business by Author "Tunaru, Radu"

Now showing items 1-2 of 2

  • Coherent risk measures under filtered historical simulation 

    Giannopoulos, Kostas; Tunaru, Radu (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 

    Giannopoulos, Kostas; Clark, Ephraim; Tunaru, Radu (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 ...