Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers
Year of publication: |
2007-05-24
|
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Authors: | Kaynar, B. ; Birbil, Birbil, S.I. ; Frenk, Frenk, J.B.G. |
Institutions: | Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam |
Subject: | Conditional value-at-risk | Disutility | Elliptical distributions | Linear loss functions | Portfolio optimization | Value-at-risk |
Extent: | application/pdf |
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Series: | ERIM Report Series Research in Management. - ISSN 1566-5283. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureri Number ERS-2007-032-LIS |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; G3 - Corporate Finance and Governance ; M - Business Administration and Business Economics; Marketing; Accounting ; M11 - Production Management |
Source: |
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Kaynar, B., (2007)
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Kaynar, B., (2007)
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Kaynar, B., (2007)
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Birbil, Birbil, S.I., (2004)
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