L'approche DARE pour une mesure de risque diversifiée.
Year of publication: |
2010-04
|
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Authors: | Hamidi, Benjamin ; Kouontchou, Patrick ; Maillet, Bertrand |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Risk measures | Expected Shortfall | Value-at-Risk | Expectile |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Language: | French |
Notes: | 16 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C50 - Econometric Modeling. General ; G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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