Generalized Deviations are Counterparts to Risk Measures
Stan Uryasev
Professor of University of Florida
uryasev@ufl.edu
and
Consultant to American Optimal Decisions (AOrDa.com)
uryasev@aorda.com
The paper discusses theoretical and practical issues of risk management with tail risk measures such
as VaR, CVaR, and Default Probability. We will address the following topics:
Generalized Deviations versus Risk Measures
Coherent Deviations
Portfolio Optimization with Generalized Deviations
Optimal Portfolio Policies with Multiple Deviations
Betas for Optimal Portfolios
Market Equilibrium with Investors Having Different Deviations
Statistics with Generalized Deviations
We will demonstrate with several case studies the risk management/optimization package Portfolio
Safeguard by AOrDa.com.