Large portfolio losses in a turbulent market
Qihe Tang, Zhiwei Tong, Yang Yang
| Year of publication: |
2021
|
|---|---|
| Authors: | Tang, Qihe ; Tong, Zhiwei ; Yang, Yang |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 292.2021, 2 (16.7.), p. 755-769
|
| Subject: | Continuous Ocone martingale | Credit quality process | Market beta | OR in banking | Systematic risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Betafaktor | Beta risk | Kreditrisiko | Credit risk | CAPM | Martingal | Martingale | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.10.043 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012502397