Conditional value-at-risk in portfolio optimization : coherent but fragile
Andrew E. B. Lim; J. George Shanthikumar; Gah-Yi Vahn
| Year of publication: |
2011
|
|---|---|
| Authors: | Lim, Andrew E. B. ; Shanthikumar, J. George ; Vahn, Gah-yi |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 39.2011, 3, p. 163-171
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management |
| 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/10009160241