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    • August 2017
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    Risk Measure?

    Risk Measure?

    TVaR, or not TVaR - that is the question; in the context of portfolio optimisation at least. The choice of risk measure to be minimised is of great importance as it has grave consequences on both the performance of potential optimisation algorithms and the ‘smoothness’ of the reduction in the tail. Risk is defined as the uncertainty (or volatility) of the portfolio rate of return. Volatility in the rate of return distribution translates to volatility in the underlying loss d
     

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