Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; … - In: Quantitative Finance 7 (2007) 4, pp. 397-409
We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure; the model controls risk exposure of international investment portfolios. We use a moment-matching method to generate discrete distributions (scenario sets) of asset returns and exchange...