I am currently working on a Machine Learning Project, implementing portfolio optimization algorithms according to different risk measures. I have found sufficient information on Sharpe Ratio optimisation, but not on Value-at-Risk.
My question is: What is the equation for differential VaR - the derivative taken with respect to a first-order exponential moving average decay rate?
It should be comparable to the differential Sharpe Ratio proposed by Moody & Safell. This formula was already discussed in: What’s the derivative of the sharpe ratio for one asset? Trying to optimize on it for a model
Thanks in advance!