Optimal Portfolio Selection with a Shortfall Probability Constraint : Evidence from Alternative Distribution Functions
Year of publication: |
2010
|
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Authors: | Akcay, Yalcin |
Other Persons: | Yalçın, Atakan (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Modellierung | Scientific modelling | Zeitreihenanalyse | Time series analysis | Theorie | Theory | VAR-Modell | VAR model |
Extent: | 1 Online-Ressource (39 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 20, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1539407 [DOI] |
Classification: | G12 - Asset Pricing ; C13 - Estimation ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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