Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures (Q621864)
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scientific article; zbMATH DE number 5842858
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| English | Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures |
scientific article; zbMATH DE number 5842858 |
Statements
Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures (English)
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29 January 2011
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mean-risk model
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portfolio optimization
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value at risk
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expected shortfall
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efficient frontier
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0.7821140289306641
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0.7686911225318909
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0.7625371217727661
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0.7605665326118469
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