The generalized value at risk admissible set: constraint consistency and portfolio outcomes

摘要: Generalized value at risk (GVaR) adds a conditional or censored mean lower bound to the standard and considers portfolio optimization problems in presence of both constraints. For normal distributions is synonymous with statistical hazard function, but this not true for fat-tailed distributions. The latter turn out imply much tighter bounds admissible set indeed logistic, an upper variance that yields simple choice rule. theory GVaR general consistent classic Von Neumann–Morgenstern utility functions money. A re-specification suggested make it so gives clearer picture economic role respective This can be used analytically explore hedges.