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Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/23
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...