Stability analysis of portfolio management with conditional value-at-risk (Q5423192): Difference between revisions
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| Property / author | |||
| Property / author: Stavros A. Zenios / rank | |||
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| Property / author: Stavros A. Zenios / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1080/14697680701483222 / rank | |||
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| Property / OpenAlex ID: W2007270903 / rank | |||
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| Property / cites work: Coherent Measures of Risk / rank | |||
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| Property / cites work: Computing efficient frontiers using estimated parameters / rank | |||
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| Property / cites work: A heuristic for moment-matching scenario generation / rank | |||
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Latest revision as of 11:33, 27 June 2024
scientific article; zbMATH DE number 5203405
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability analysis of portfolio management with conditional value-at-risk |
scientific article; zbMATH DE number 5203405 |
Statements
Stability analysis of portfolio management with conditional value-at-risk (English)
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22 October 2007
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Portfolio management
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stability analysis
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impact of higher-order moments
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estimation errors
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conditional value-at-risk
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