New study reveals how risk measures impact investment strategies in finance
The article compares two methods, Value-at-Risk (VaR) and Tail Conditional Expectation (TCE), for managing risk in investment portfolios. The researchers found that both VaR and TCE lead to similar reductions in risky investments when constraints are applied, even though TCE is a more reliable measure of risk. They also discovered that TCE requires a higher numerical value than VaR to achieve the same risk reduction.