Li, Jing and Xu, Mingxin (2009): Minimizing Conditional ValueatRisk under Constraint on Expected Value.

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Abstract
Conditional ValueatRisk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward problem faced by a portfolio manager whose portfolio needs to be continuously rebalanced to minimize risk taken (measured by CVaR) while meeting the reward goal (measured by expected return). The optimal portfolio is identified whenever it exists, and the associated minimal risk is calculated. An example in the BlackScholes framework is cited where dynamic hedging strategy is calculated and the efficient frontier is plotted.
Item Type:  MPRA Paper 

Original Title:  Minimizing Conditional ValueatRisk under Constraint on Expected Value 
Language:  English 
Keywords:  Conditional ValueatRisk, Portfolio optimization, Risk minimization, NeymanPearson problem 
Subjects:  G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions G  Financial Economics > G3  Corporate Finance and Governance > G32  Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61  Optimization Techniques ; Programming Models ; Dynamic Analysis 
Item ID:  26342 
Depositing User:  Mingxin Xu 
Date Deposited:  03. Nov 2010 09:10 
Last Modified:  30. Dec 2015 23:57 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/26342 