Value at Risk, Conditional Value at Risk
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Forum | Papers » A robust risk-based approach in portfolio management

A robust risk-based approach in portfolio management

Riccardo Cesari, Anna Grazia Quaranta
January 2011 - n°1
Jel codes: C61, G11

In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility,Value at Risk and Conditional Value at Risk.This with the aim to take account of asymmetries in distribution of yields, and in profits and losses for investors.The robust CVaR approach is preferable compared with other robust and non robust models, and with respect to the risk-free portfolio and therefore can have interesting perspectives in the field of asset management

 

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