Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems : a comparison with mean-variance analysis
Year of publication: |
2013
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Authors: | Brandtner, Mario |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 12, p. 5526-5537
|
Subject: | Portfolio selection | Spectral risk measures | Conditional Value-at-Risk | Comonotonicity | Efficient frontier | Optimal portfolio | Theorie | Theory | Portfolio-Management | Risikomaß | Risk measure | Risiko | Risk |
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