Acta mathematica scientia,Series A ›› 2004, Vol. 24 ›› Issue (4): 442-448.

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Sensitivity Analysis of Conditional Value at Risk

 LIU Xiao-Mao, LI Chu-Lin   

  • Online:2004-08-25 Published:2004-08-25
  • Supported by:

    国家自然科学基金(70071012)和广西科学研究与技术开发项目(0385008)资助

Abstract:

This paper gives the Conditional Value at Risk (CVaR) of portfolio under the normality and t distribution respectively, and analyzes the sensitivity of CVaR with respect to portfolio allocation. The economic implications are also discussed.

Key words: Risk management, Conditional value at risk, Portfolio,  Sensitivity. 

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