Portfolio value-at-risk optimization for asymmetrically distributed asset returns
Year of publication: |
2012
|
---|---|
Authors: | Goh, Joel Weiqiang ; Lim, Kian-Guan ; Sim, Melvyn ; Zhang, Weina |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 221.2012, 2 (1.9.), p. 397-406
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
-
Pun, Chi Seng, (2023)
-
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra, (2022)
-
Tail dependence in financial markets : a dynamic copula approach
Cortese, Federico Pasquale, (2019)
- More ...
-
Portfolio value-at-risk optimization for asymmetrically distributed asset returns
Goh, Joel Weiqiang, (2012)
-
Portfolio value-at-risk optimization for asymmetrically distributed asset returns
Goh, Joel Weiqiang, (2012)
-
Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns
Goh, Joel, (2017)
- More ...