Optimal portfolio selection with a shortfall probability constraint : evidence from alternative distribution functions
Year of publication: |
2010
|
---|---|
Authors: | Akcay, Yalcin ; Yalçın, Atakan |
Published in: |
The journal of financial research. - Malden, MA : Wiley-Blackwell Publishing, ISSN 0270-2592, ZDB-ID 875353-2. - Vol. 33.2010, 1, p. 77-102
|
Subject: | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling |
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