Systemic Risk-Driven Portfolio Selection (Q5095162)

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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

    title
    Systemic Risk-Driven Portfolio Selection (English)
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    author
    Agostino Capponi
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    Alexey N. Rubtsov
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    publication date
    5 August 2022
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    7568770
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    OpenAlex ID
    W4205107869
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