Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study

Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study

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Bibliographic Details
Date:2018
Main Authors: T. Zabolotskyy, V. Vitlinskyy, V. Shvets
Format: Article
Language:English
Published: 2018
Series:Economic annals-XXI
Online Access:http://jnas.nbuv.gov.ua/article/UJRN-0001055262
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Journal Title:Library portal of National Academy of Sciences of Ukraine | LibNAS

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Library portal of National Academy of Sciences of Ukraine | LibNAS
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spelling open-sciencenbuvgovua-334922024-02-27T22:12:50Z Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study T. Zabolotskyy V. Vitlinskyy V. Shvets 1728-6220 2018 en Economic annals-XXI http://jnas.nbuv.gov.ua/article/UJRN-0001055262 Article
institution Library portal of National Academy of Sciences of Ukraine | LibNAS
collection Open-Science
language English
series Economic annals-XXI
spellingShingle Economic annals-XXI
T. Zabolotskyy
V. Vitlinskyy
V. Shvets
Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
format Article
author T. Zabolotskyy
V. Vitlinskyy
V. Shvets
author_facet T. Zabolotskyy
V. Vitlinskyy
V. Shvets
author_sort T. Zabolotskyy
title Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
title_short Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
title_full Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
title_fullStr Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
title_full_unstemmed Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
title_sort optimality of the minimum var portfolio using cvar as a risk proxy in the context of transition to basel iii: methodology and empirical study
publishDate 2018
url http://jnas.nbuv.gov.ua/article/UJRN-0001055262
work_keys_str_mv AT tzabolotskyy optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy
AT vvitlinskyy optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy
AT vshvets optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy
first_indexed 2025-07-17T17:08:38Z
last_indexed 2025-07-17T17:08:38Z
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