This paper introduces a new approach to optimizing a portfolio so as to reduce the risk of
high losses. Value-at-Risk (VaR) has a role in the approach, but the emphasis is on …

Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was
suggested and tested with several applications. For continuous distributions, CVaR is …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

In this paper, we develop a portfolio selection model which allocates financial assets by
maximising expected return subject to the constraint that the expected maximum loss should …

We consider the problem of portfolio selection, with transaction costs and constraints on
exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds …

This article explores the risk and return relationship of active portfolios subject to a constraint
on tracking-error volatility (TEV), which can also be interpreted in terms of value at risk. Such …

Value-at-Risk (VaR) is used to analyze the market downside risk associated with
investments in six key individual assets including four precious metals, oil and the S&P 500 …

This paper suggests two new heuristic algorithms for optimization of Value-at-Risk (VaR). By
definition, VaR is an estimate of the maximum portfolio loss during a standardized period …

This paper proposes dynamic copula and marginals functions to model the joint distribution
of risk factor returns affecting portfolios profit and loss distribution over a specified holding …

A guide to the growing importance of extreme value risk theory, methods, and applications in
the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A …