A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

By Gordon J. Alexander, Alexandre M. Baptista. Management Sciences, 2004

339 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/149b5da1893863c3637dcac30b747dbeb0efc5f1

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In Economics and Econometrics

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In Finance

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In Management Science and Operations Research

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Citations in the corpus

• Hedging and Value at Risk: A Semi-Parametric Approach (2009, background): “Increasingly, VaR and CVaR are also now used in asset allocation (Huisman, Koedijk and Pownall, 1999; Campbell, Huisman and Koedijk, 2001; Alexander and Baptista, 2002, 2004) and portfolio performance measurement (Dowd, 1998; Alexander and Baptista, 2003).”
• Predicting Hedge Fund Failure: A Comparison of Risk Measures (2009, neutral): “is sometimes called conditional VaR (CVaR) (see Agarwal and Naik (2004), Alexander and Baptista (2004)).”
• Channel Coordination with a Risk‐Neutral Supplier and a Downside‐Risk‐Averse Retailer (2005, methodology): “VaR constraints are often used in the Finance literature; see e.g., Basak and Shapiro (2001), Cuoco et al. (2001), and Alexander and Baptista (2004).”
• Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, positive): “Situations where AVaR behaves better than traditional risk measures are for example discussed in Alexander and Baptista (2004), Agarwal and Naik (2004), Merino and Nyfeler (2004).”
• Stochastic dominance analysis of Asian hedge funds (2008, methodology): “On the other hand, studies have applied the Value-at-Risk (VaR) and conditionalVaR (CVaR) (see for example, Jorion, 2000; Rockafellar and Uryasev, 2000, 2002; Alexander and Baptista, 2002, 2004) methodology to hedge funds.”
• Evaluating Value-at-Risk Models with Desk-Level Data (2011, neutral): “Alexander and Baptista (2004) also compare the use of VaR and CVaR constraints in portfolio selection and find that CVaR generally dominates VaR except in the absence of a risk-free asset. However, these critiques of VaR as a portfolio optimization constraint have since been challenged in Cuoco et a”