Optimization of conditional value-at risk

  title={Optimization of conditional value-at risk},
  author={R. Tyrrell Rockafellar and Stanislav Uryasev},
  journal={Journal of Risk},
In an intensifying international competition banks are forced to place increased emphasis on enter-prise wide risk-/return management. Financial risks have to be limited and managed from a bank wide portfolio perspective. Risk management requirements have to be met from an internal as well as from a regulatory point of view. Banks need to maximize their expected returns under these constraints. This leads to a generalized portfolio optimization problem under different capital restrictions. We… 

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