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Minimizing CVaR and VaR for a portfolio of derivatives

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  • Alexander, S.
  • Coleman, T.F.
  • Li, Y.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4H21K9V-1/2/84474daaf62424d89837f18fcabd1622
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 30 (2006)
    Issue (Month): 2 (February)
    Pages: 583-605

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    Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:583-605

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    1. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    2. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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    Cited by:
    1. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
    2. repec:ecu:wpaper:2008-03 is not listed on IDEAS
    3. Larsen, Ryan A. & Leatham, David J. & Mjelde, James W. & Wolfley, Jared L., 2008. "Geographical Diversification: An Application of Copula Based CVaR," Proceedings:2008 Agricultural and Rural Finance Markets in Transition, September 25-26, 2008, Kansas City, Missouri 119533, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    4. Yu, Jinping & Yang, Xiaofeng & Li, Shenghong, 2009. "Portfolio optimization with CVaR under VG process," Research in International Business and Finance, Elsevier, vol. 23(1), pages 107-116, January.
    5. David McInerney & Robert Lempert & Klaus Keller, 2012. "What are robust strategies in the face of uncertain climate threshold responses?," Climatic Change, Springer, vol. 112(3), pages 547-568, June.
    6. Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa.
    7. Alejandro Balbás & Raquel Balbás, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa.
    8. repec:ecu:wpaper:2008-04 is not listed on IDEAS
    9. Larsen, Ryan A. & Vedenov, Dmitry V. & Leatham, David J., 2009. "Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46763, Southern Agricultural Economics Association.
    10. Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
    11. Mandal, Maitreyi & Lagerkvist, Carl Johan, 2012. "A Comparison of Traditional and Copula based VaR with Agricultural portfolio," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124387, Agricultural and Applied Economics Association.
    12. Iscoe, Ian & Kreinin, Alexander & Mausser, Helmut & Romanko, Oleksandr, 2012. "Portfolio credit-risk optimization," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1604-1615.
    13. Balbás, Alejandro & Balbás, Raquel & Mayoral, Silvia, 2009. "Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm," European Journal of Operational Research, Elsevier, vol. 192(2), pages 603-620, January.
    14. Johannes Royset, 2013. "On sample size control in sample average approximations for solving smooth stochastic programs," Computational Optimization and Applications, Springer, vol. 55(2), pages 265-309, June.
    15. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
    16. Chen, Songjiao & Wilson, William W. & Larsen, Ryan A. & Dahl, Bruce L., 2013. "Investing in Agriculture as an Asset Class," Agribusiness & Applied Economics Report 147053, North Dakota State University, Department of Agribusiness and Applied Economics.
    17. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.

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