Modified expected shortfall : a new robust coherent risk measure
Year of publication: |
2013
|
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Authors: | Jadhav, Deepak ; Ramanathan, T. V. ; Naik-Nimbalkar, Uttara |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 1, p. 69-83
|
Subject: | Portfolio | Regulators | Risk measures | Value-at-risk (VAR) | Original research | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Messung | Measurement | Risiko | Risk | Risikomanagement | Risk management |
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