On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions.
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| Title: | On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions. |
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| Authors: | Ravat, Uma V.1, Shanbhag, Uday V.2, udaybag@psu.edu, Sowers, Richard B.3 |
| Source: | Optimization Methods & Software; Jul2014, Vol. 29 Issue 4, p877-897, 21p |
| Database: | Applied Science & Technology Source |
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| ISSN: | 10556788 |
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| DOI: | 10.1080/10556788.2013.860528 |
