Browsing Bachelor Thesis - Mathematics by Author "Linh, Huynh Thi My"
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Target risk of portfolios with return constraints: Optimization of conditional value at risk
Linh, Huynh Thi My (International University - HCMC, 2017)This paper is a study about Conditional Value at Risk (CVaR) concept which is widely known as an efficient instrument for measuring the amount of loss and also constructing an optimal portfolio. Based on the crucial objective ...