Optimal portfolios with stress analysis and the effect of a CVaR constraint (Q3076650)
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scientific article; zbMATH DE number 5856582
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| English | Optimal portfolios with stress analysis and the effect of a CVaR constraint |
scientific article; zbMATH DE number 5856582 |
Statements
23 February 2011
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optimal portfolio
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stress testing
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conditional value-at-risk
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jump-diffusion
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0.7853683233261108
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0.7672133445739746
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0.762666642665863
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0.7558531761169434
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