Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation
Konstantin Kalinchenko; Stan Uryasev; R. Tyrrell Rockafellar
| Year of publication: |
2012
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|---|---|
| Authors: | Kalinchenko, Konstantin ; Uryasev, Stan ; Rockafellar, Ralph Tyrrell |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 15.2012/13, 1, p. 45-70
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| Subject: | CAPM | Risikomaß | Risk measure | Risikopräferenz | Risk attitude |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009657965