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Based on the normal value-at-risk, we develop a new value-at-risk method called modified value-at-risk. This modified value-at-risk has the property to adjust the risk, measured by volatility alone, with the skewness and the kurtosis of the distribution of returns. The modified value-at-risk allows us to measure the risk of a portfolio with non-normally distributed assets like hedge funds or technology stocks and to solve for optimal portfolio by minimizing the modified value-at-risk at a given confidence level.
Favre et al. (Mon,) studied this question.
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