Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus University Rotterdam, Econometric Institute - 2007
We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments have a multivariate elliptical distribution. Under this setting we pay special attention to two risk measures, Value-at-Risk and Conditional-Value-at-Risk...