The paper deals with the application of a coherent risk measure weighted VaR. After investigating some basic properties of this risk measure, we apply the obtained results to the financial problems optimization and capital allocation. Under some assumption on mean weighted VaR have some good properties that are not shared by another tail measures. This allows one to say that weighted VaR is one of the most useful classes of coherent risk measures. Application deals with data from Warsaw Stock Exchange.

1. FULLTEXT: Application weighted VaR in capital allocation, Microsoft Office Document, 0.3MB

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