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2003•Industrial Engineering and Engineering ManagementRequires access

Mean——CVaR Efficient Frontier and Its Economic Implications(II)

Jianhua Wang

Open publisher page 5 citations

Abstract

Since CVaR (Conditional Value-at-Risk)—a new approach of risk management introduced by Rockafeller and Uryasev(2000),has significant advantages over VaR(Value-at-Risk) and more reasonable economic implications than VaR,it is considered to be a more stable、consistent and efficient measure of risk than VaR.Based on the CVaR technique,this paper studies the Mean\_CVaR boundary of portfolio and examine the economic implications under the assumption of normality of risk securities.The comparison between the Mean\_CVaR boundary and the Mean\_Variance boundary is provided.

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What this paper is about

Since CVaR (Conditional Value-at-Risk)—a new approach of risk management introduced by Rockafeller and Uryasev(2000),has significant advantages over VaR(Value-at-Risk) and more reasonable economic implications than VaR,it is considered to be a more stable、consistent and efficient measure of risk than VaR.Based on the CVaR technique,this paper studies the Mean\_CVaR boundary of portfolio and examine the economic implications under the assumption of normality of risk securities.The comparison between the Mean\_CVaR boundary and the Mean\_Variance boundary is provided.

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Available abstract

Since CVaR (Conditional Value-at-Risk)—a new approach of risk management introduced by Rockafeller and Uryasev(2000),has significant advantages over VaR(Value-at-Risk) and more reasonable economic implications than VaR,it is considered to be a more stable、consistent and efficient measure of risk than VaR.Based on the CVaR technique,this paper studies the Mean\_CVaR boundary of portfolio and examine the economic implications under the assumption of normality of risk securities.The comparison between the Mean\_CVaR boundary and the Mean\_Variance boundary is provided.

Key concepts: CVAR, Expected shortfall, Efficient frontier, Portfolio, Econometrics, Risk measure, Economics, Coherent risk measure

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