Enhanced indexing using weighted conditional value at risk
Ruchika Sehgal, Aparna Mehra
| Year of publication: |
2019
|
|---|---|
| Authors: | Sehgal, Ruchika ; Mehra, Aparna |
| Published in: |
Annals of operations research ; volume 280, numbers 1/2 (September 2019). - New York, NY, USA : Springer. - 2019, p. 211-240
|
| Subject: | Enhanced indexing | Conditional value at risk | Weighted conditional value at risk | Gini mean difference | Sharpe ratio | Upside potential ratio | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Index | Index number |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-019-03132-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116217