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Is the variance-covariance VaR a mean-variance risk measure?

 
 
Reply Sun 4 May, 2014 01:51 am
Could somebody please solve this mystery to me?
I read that VaR is not a mean-variance measure, but in its calculation you use the standard deviation and even the mean (if you are calculating the variance-covariance VaR). So in that case, wouldn't it be a mean-variance measure?
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