Sessi Tokpavi

affiliation not provided to SSRN

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Conditional Value-at-Risk: An Alternative Measure for Low-Risk Strategies?

Number of pages: 18 Posted: 27 Oct 2012
Sessi Tokpavi and Benoit Vaucher
affiliation not provided to SSRN and Lombard Odier & Cie
Downloads 129 (158,321)

Abstract:

CVaR, minimum variance, risk, Value-at-Risk, portfolio management, optimization, Monte Carlo, quantitative portfolio management, asset allocation,expected shortfall