On the non-existence of conditional value-at-risk under heavy tails and short sales
Year of publication: |
2010
|
---|---|
Authors: | Bamberg, Günter ; Neuhierl, Andreas |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 32.2010, 1, p. 49-60
|
Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income |
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