Implementable tail risk management : an empirical analysis of CVaR-optimized carry trade portfolios
Year of publication: |
2011
|
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Authors: | Kaya, Hakan ; Lee, Wai ; Pornrojnangkool, Bobby |
Published in: |
Journal of derivatives & hedge funds. - Basingstoke : Palgrave Macmillian, ISSN 1753-9641, ZDB-ID 2408771-3. - Vol. 17.2011, 4, p. 341-356
|
Subject: | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Währungsspekulation | Currency speculation | Welt | World | Währungsrisiko | Exchange rate risk | Risikomaß | Risk measure |
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