Title of article :
Analysis of criteria VaR and CVaR
Author/Authors :
Andrey I. Kibzun، نويسنده , , Evgeniy A. Kuznetsov، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Keywords :
Conditional Value-at-Risk (Integeral quantile function) , Convexity of VaR and CVaR , Portfolioselection , stochastic programming , Criteria for decision-making under risk , Value-at-Risk (Quantile function)
Journal title :
Journal of Banking and Finance
Journal title :
Journal of Banking and Finance
