LIBROS DEL AUTOR: narendra varma

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  • Sensitivity Analysis of VaR and CVaR
    Narendra Varma
    Value at Risk (VaR) and conditional value at Risk (CVaR) are frequently used risk measures. Finding optimal portfolio using VaR or CVaR as a risk measure is computationally intensive especially when number of instruments and scenarios size is huge. This problem was analyzed and a computational efficient method, beating the industry’s best methods, was proposed in this work. Par...
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