Student-t Conditional Value At Risk

Compute the Student-t conditional value at risk of a portfolio.

References

• Boudt, Kris and Peterson, Brian G. and Croux, Christophe, Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (October 31, 2007). Journal of Risk, Vol. 11, No. 2, pp. 79-103, 2008.
• Martin, R. Douglas and Arora, Rohit, Inefficiency of Modified VaR and ES