Portfolio Selection Based on Modified CoVaR in Gaussian Framework
We study a Mean-Risk model, where risk is measured by a Modified CoVaR (Conditional Value at Risk): <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><msubsup><mo form="prefix">CoVaR<...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/12/23/3766 |
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