How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation
Year of publication: |
2023
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Authors: | Nakamura, Kazuki |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 4, p. 1-5
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Subject: | Portfolio theory | Stochastic dominance | Tail conditional expectation | Value at risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
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