Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
Danjue Shang, Victor Kuzmenko, Stan Uryasev
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Shang, Danjue ; Kuzmenko, Victor ; Uryasev, Victor |
| Published in: |
Advances of OR in commodities and financial modeling. - New York, NY, USA : Springer. - 2018, p. 501-514
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| Subject: | Risikomaß | Risk measure | Cash Flow | Cash flow | Matching | Theorie | Theory | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-016-2354-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011871446