Systemic Risk-Driven Portfolio Selection (Q5095162): Difference between revisions
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| Property / DOI: 10.1287/opre.2021.2234 / rank | |||
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| Property / cites work: Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis. / rank | |||
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| Property / cites work: Liability Concentration and Systemic Losses in Financial Networks / rank | |||
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| Property / cites work: Equity Portfolio Diversification* / rank | |||
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Latest revision as of 15:54, 30 December 2024
scientific article; zbMATH DE number 7568770
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Systemic Risk-Driven Portfolio Selection |
scientific article; zbMATH DE number 7568770 |
Statements
Systemic Risk-Driven Portfolio Selection (English)
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5 August 2022
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systemic risk
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portfolio selection
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risk management
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VaR
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CoVaR
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risk-adjusted returns
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