Stable ETL Optimal Portfolios and Extreme Risk Management

DOI10.1007/978-3-7908-2050-8_11zbMath1154.91471OpenAlexW2171961677MaRDI QIDQ3606101

Stoyan V. Stoyanov, Borjana Racheva, Svetlozar T. Rachev, R. Douglas Martin

Publication date: 26 February 2009

Published in: Contributions to Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2050-8_11

Mathematics Subject Classification ID

Related Items (5)

Foster-Hart optimization for currency portfolios ⋮ Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio ⋮ Recent Advances in Credit Risk Management ⋮ Stochastic models for risk estimation in volatile markets: a survey ⋮ Periodic portfolio revision with transaction costs

Cites Work

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