Optimization of conditional value-at-risk

# Optimization of conditional value-at-risk > OpenAlex Metadata Hub · https://openalex.org/W1647779468 ## Bibliographic - **DOI:** 10.21314/jor.2000.038 - **Year:** 2000 - **Citations:** 6488 - **Open Access:** No (closed) - **License:** — - **Source:** https://doi.org/10.21314/jor.2000.038 ## Authors - R. T. Rockafellar - Stan Uryasev ## Abstract A new approach to optimizing or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-at-Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well. CVaR, also called Mean Excess Loss, Mean Shortfall, or Tail VaR, is anyway considered to be a more consistent measure of risk than VaR. Central to the new approach is a technique for portfolio optimization which calculates VaR and optimizes CVaR simultaneously. This technique is suitable for use by investment companies, brokerage firms, mutual funds, and any business that evaluates risks. It can be combined with analytical or scenario-based methods to optimize portfolios with large numbers of instruments, in which case the calculations often come down to linear programming or nonsmooth programming. The methodology can be applied also to the optimization of percentiles in contexts outside of finance. ## Keywords CVAR, Expected shortfall, Value at risk, Risk measure, Portfolio, Portfolio optimization, Coherent risk measure, Linear programming, Econometrics, Mathematical optimization, Computer science, Investment (military), Measure (data warehouse), Actuarial science, Risk management, Economics, Mathematics, Finance, Data mining ## Concepts - CVAR - Expected shortfall - Value at risk - Risk measure - Portfolio - Portfolio optimization - Coherent risk measure - Linear programming - Econometrics - Mathematical optimization - Computer science - Investment (military) - Measure (data warehouse) - Actuarial science - Risk management - Economics - Mathematics - Finance - Data mining - Politics - Law - Political science --- *Metadata only — full text not imported unless Open Access license permits.*

Bài “Optimization of conditional value-at-risk” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex. Tóm lược học thuật (đã diễn giải): A new approach to optimizing or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-at-Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well. CVaR, also called Mean Excess Loss, Mean Shortfall, or Tail VaR, is anyway considered to be a more consistent measure of risk than VaR. Central to the new approach is a technique for portfolio optimization which calculates VaR and optimizes CVaR simultaneously. This technique is suitable for use by investment companies, brokerage firms, mutual funds, and any business that evaluates risks. It can be combined with analytical or scenario-based methods to optimize portfolios with large numbers of instruments, in which case the calculations often come down to linear programming or nonsmooth programmi… Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook. Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.