Abstract We deal with the problem of the practical use of Haezendonck risk measures (see Haezendonck and Goovaerts [8], Goovaerts et al. [7], Bellini and Rosazza Gianin [4]) in portfolio optimization. We first analyze the properties of the natural estimators of Haezendonck risk measures by means...

In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call 'MCVaR'....