A unified approach to portfolio selection in a tracking error framework with additional constraints on risk
Patrizia Stucchi
| Year of publication: |
May 2015
|
|---|---|
| Authors: | Stucchi, Patrizia |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 56.2015, p. 165-174
|
| Subject: | Portfolio frontiers | Tracking error | Risk management | Value at Risk (VaR) | Conditional VaR (CVaR) | Risikomanagement | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2014.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011574369