Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study

Zabolotskyy, T., Vitlinskyy, V., & Shvets, V. (2018). Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study. Economic Annals-XXI, 174(11-12), 43-50. doi: https://doi.org/10.21003/ea.V174-07