Alexander, Gordon J.; Baptista, Alexandre M. - 2006
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint … on the mean-variance model, and compare them with those arising from the imposition of a conditional value-at-risk (CVaR … bounds coincide. Consequently, a CVaR constraint is more effective than a VaR constraint as a tool to control slightly risk …