Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis
Year of publication: |
2013
|
---|---|
Authors: | Brandtner, Mario |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 12, p. 5526-5537
|
Publisher: |
Elsevier |
Subject: | Portfolio selection | Spectral risk measures | Conditional Value-at-Risk | Comonotonicity | Efficient frontier | Optimal portfolio |
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