An alternative nonparametric tail risk measure
Year of publication: |
2021
|
---|---|
Authors: | Law, Keith K. F. ; Li, Wai Keung ; Yu, Philip L. H. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 4, p. 685-696
|
Subject: | Asset pricing | Risk neutralization | Risk optimization | Stochastic discount factor | Theorie | Theory | CAPM | Risiko | Risk | Risikomaß | Risk measure | Diskontierung | Discounting | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Messung | Measurement |
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