Title
Why is CVaR Superior to VaR?: A Unified Framework for MeanRisk Portfolio Optimization,Used
Delivery time: 8-12 business days (International)
Until recently, ValueatRisk (VaR) has been a widely used risk measure in portfolio optimization. The recently frequent bank failures show that VaR fail to account for losses caused by rare events such as the global financial crisis, thereby questioning its reliability and credibility as a measure of risk. Alternatively, previous work concurs that Conditional ValueatRisk (CVaR) is a coherent tail risk measure, and has established the superiority of CVaR over traditional measures of risk from a theoretical standpoint. This book investigates the reasons that render CVaR superior to other risk measures from an empirical perspective. We develop a theoretical model that solves the meanrisk portfolio optimization problem within a unified framework for all three risk measures variance, VaR and CVaR. We test our model empirically using financial data on return indices over a period covering the financial crisis. Our results support the theoretical predictions. The meanCVAR framework respects diversification and can be applied to multimodel returns, unlike meanvariance and meanVaR which are only valid when returns are normal. CVaR is the most conservative measure of risk.
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Shipping & Returns
Shipping
We ship your order within 2–3 business days for USA deliveries and 5–8 business days for international shipments. Once your package has been dispatched from our warehouse, you'll receive an email confirmation with a tracking number, allowing you to track the status of your delivery.
Returns
To facilitate a smooth return process, a Return Authorization (RA) Number is required for all returns. Returns without a valid RA number will be declined and may incur additional fees. You can request an RA number within 15 days of the original delivery date. For more details, please refer to our Return & Refund Policy page.
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Warranty
We provide a 2-year limited warranty, from the date of purchase for all our products.
If you believe you have received a defective product, or are experiencing any problems with your product, please contact us.
This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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Your payment information is processed securely. We do not store credit card details nor have access to your credit card information.
We accept payments with :
Visa, MasterCard, American Express, Paypal, Shopify Payments, Shop Pay and more.