How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Luca Riccetti
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Riccetti, Luca |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016/2017, 4, p. 79-102
|
| Subject: | risk management | active portfolio management | benchmarking | tracking error | value-at-risk (VaR) | mean-variance dominance | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Volatilität | Volatility | Benchmarking | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2017.359 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011710254