Optimal Portfolio Selection with a Shortfall Probability Constraint : Evidence from Alternative Distribution Functions
Year of publication: |
2010
|
---|---|
Authors: | Akcay, Yalcin |
Other Persons: | Yalcin, Atakan (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Modellierung | Scientific modelling | Risikoaversion | Risk aversion | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Theorie | Theory |
Extent: | 1 Online-Ressource (39 p) |
---|---|
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 |
-
Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj, (2017)
-
Optimal Hedging with the Cointegrated Vector Autoregressive Model
Gatarek, Lukasz T., (2014)
-
Akcay, Yalcin, (2010)
- More ...
-
Akcay, Yalcin, (2010)
-
Joint Dynamic Pricing of Multiple Perishable Products Under Consumer Choice
Akcay, Yalcin, (2011)
-
Dynamic Assignment of Flexible Service Resources
Akcay, Yalcin, (2011)
- More ...