Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study / Zabolotskyy, T., Vitlinskyy, V., Shvets, V. (2018)
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web address of the page http://jnas.nbuv.gov.ua/article/UJRN-0001055262
  Economic annals-XXI      В - 2015  /     Issue (2018, № 174)

Zabolotskyy T., Vitlinskyy V., Shvets V.
Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study

Cite:
Zabolotskyy, T., Vitlinskyy, V., Shvets, V. (2018). Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study. Economic annals-XXI, 174, 43-50. http://jnas.nbuv.gov.ua/article/UJRN-0001055262

 

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