# Questions tagged [cvar]

The tag has no usage guidance.

28 questions
Filter by
Sorted by
Tagged with
35 views

### CVaR is concave risk measure or convex?

I see in pflug modeling and measuring risk book, CVaR is concave... But the other book definate cvar is convex... If assume cvar is concave, then cvar optimization problem give us a global optimal ...
40 views

### Subadditivity of cvar(R)، R is random vector

$R=(R_1,\ldots,R_n)$ is random vector in $L^1(\mathcal{R}^n)$. Then is it true that $$\operatorname{Cvar}(R_1+ \cdots + R_n) \le \operatorname{Cvar}(R_1) + \cdots +\operatorname{Cvar}(R_n)?$$ Can ...
35 views

### Backtesting EGARCH-NIG CVaR in R

I fitted an EGARCH model with a NIG distribution to a series of returns. Using the following link I tried got how I should calculate the CVaR of the model http://r.789695.n4.nabble.com/CVaR-with-NIG-...
119 views

### CVaR formulation

I am a research intern and I am working on a topic about a profit maximization of a risk-averse newsvendor by using Conditional Value-at-Risk.The problem is that I found different expressions of CVaR. ...
29 views

### Why no median-CVaR optimization for portfolios?

Question Since CVaR is a concept that can be applied to all probability distribution, even if they do not follow normal distribution, I thought CVaR should be more concerned with median, not the ...
181 views

### Questions about VaR and CVaR. Is there any relation between $VaR_{\alpha}(X)$ and $VaR_{\alpha}(-X)$, or $CVaR_{\alpha}(X)$ and $CVaR_{\alpha}(-X)$?

I have some questions when dealing with Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Is there any relationship between $VaR_{\alpha}(X)$ and $VaR_{\alpha}(- X)$, or $CVaR_{\alpha}(X)$ ...
199 views

### Non-parametric estimator - CVaR / Expected shortfall

Is the estimation of the CVaR using known non-parametric methods (histogram, kernels) different than the estimation of any other R.V.? If the answer is yes, I am interested to know whether there are ...
91 views

### Why Can I not estimate a CVAR from Heston Model

I fit the parameters of Heston model, using option data for SPX. Now I have the process S and P 500 is expected to follow. I make 100,000 simulations of this process and then calculate the expected ...
34 views

### Which performance evaluation measure to assess “Connectedness Matrix” based porfolios?

1. Question Which performance evaluation measure would be best to assess the portfolios built on 'connectedness matrix'? The connectedness matrix is the concept introduced in the academic paper "...
82 views

408 views

### Confidence Interval on Monte-Carlo-CVaR

I use the Monte-Carlo Simulation for the computation of VaR and CVaR and wish to compute the 95% Confidence Interval of my result(not the confidence level of VaR). In the case of VaR this is simple ...
100 views

130 views

### VaR calculation accuracy/comparison/effectiveness through different R packages

My question is what would be the better( in terms of estimation accuracy) method of VaR calculation among below two:, also any small code snippet will be great as a starting point for me. 1st method: ...
2k views

### Calculate CVaR for a portfolio

I would like to calculate the Conditional Value at Risk for a portfolio. To be honest, I'm trying for a few days to find an example to calculate for an entire portfolio, not just for one security and ...
1k views

### Elicitability of risk measures

I read that CVaR (Conditional Value-at-Risk, also Expected Shortfall), satisfies coherence, but not Elicitability. On the other hand, VaR satisfies Elicitability, but not coherence. What is ...
I wanted to optimize a portfolio based on a portfolio-wide CVaR constraint (i.e. $CVaR_p \leq 0.08$). Unfortunately, I only find solution that minimizes the entire CVaR of the Portfolio. Do you mind ...