A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios

Kartik Sivaramakrishnan; Robert Stamicar

doi:10.3905/jpm.2018.44.2.114

A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios

Kartik Sivaramakrishnan and Robert Stamicar

The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 114-129; DOI: https://doi.org/10.3905/jpm.2018.44.2.114

Kartik Sivaramakrishnan

is a director of research at Axioma, Inc., in Atlanta, GA

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Robert Stamicar

is a senior director of Risk Management at Axioma, Inc., in New York, NY

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A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios

Kartik Sivaramakrishnan, Robert Stamicar

The Journal of Portfolio Management Dec 2017, 44 (2) 114-129; DOI: 10.3905/jpm.2018.44.2.114

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A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios

Kartik Sivaramakrishnan, Robert Stamicar

The Journal of Portfolio Management Dec 2017, 44 (2) 114-129; DOI: 10.3905/jpm.2018.44.2.114

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