Conditional value-at-risk in portfolio optimization: coherent but fragile (Q635502): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing efficient frontiers using estimated parameters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness and sensitivity analysis of risk measurement procedures / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme Value Theory as a Risk Management Tool / rank
 
Normal rank
Property / cites work
 
Property / cites work: Common risk factors in the returns on stocks and bonds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Preferences and Robust Portfolio Choice / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3723487 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the controversy over tailweight of distributions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3994411 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4219536 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2724706 / rank
 
Normal rank

Latest revision as of 10:31, 4 July 2024

scientific article
Language Label Description Also known as
English
Conditional value-at-risk in portfolio optimization: coherent but fragile
scientific article

    Statements

    Conditional value-at-risk in portfolio optimization: coherent but fragile (English)
    0 references
    0 references
    0 references
    0 references
    19 August 2011
    0 references
    0 references
    0 references
    0 references
    0 references
    portfolio optimization
    0 references
    conditional value-at-risk
    0 references
    expected shortfall
    0 references
    coherent measures of risk
    0 references
    mean-CVaR optimization
    0 references
    mean-variance optimization
    0 references
    0 references