APO
发表于 2025-4-1 03:45:15
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)ow that EE-VaR has fewer violations than historical VaR. Further, there are substantial savings in risk capital with EE-VaR at 99% as compared to historical VaR corrected by a factor of 3 to satisfy the violation bound. The efficiency of EE-VaR arises because an implied VaR estimate responds quickly
Indicative
发表于 2025-4-1 09:05:04
Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Madvantage in modelling is exploited by the optimization algorithm to identify portfolios with higher expected return given a fixed VaR constraint. However, adjusting the portfolio to the dynamic approximations of the conditional volatility structure also results in some overconfidence with regard to