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    • Minimizing CVaR and VaR for a portfolio of derivatives 

      alexander, siddharth; coleman, thomas f.; Li, Yuying (Cornell University, 2004-05-21)
      Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures in current risk management practice. As an alternative to VaR, CVaR is attractive since it is a coherent risk measure. ...