Generalized deviations in risk analysis
Year of publication: |
2006
|
---|---|
Authors: | Rockafellar, Ralph Tyrrell ; Uryasev, Stan ; Zabarankin, Michael |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 10.2006, 1, p. 51-74
|
Subject: | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure |
-
Risk management with weighted VaR
Wei, Pengyu, (2018)
-
Bröker, Frank, (2000)
-
Risikomessung mit dem Conditional Value-at-Risk : Implikationen für das Entscheidungsverhalten
Hanisch, Jendrik, (2006)
- More ...
-
Risk tuning with generalized linear regression
Rockafellar, Ralph Tyrrell, (2008)
-
Equilibrium with investors using a diversity of deviation measures
Rockafellar, Ralph Tyrrell, (2007)
-
Master funds in portfolio analysis with general deviation measures
Rockafellar, Ralph Tyrrell, (2006)
- More ...