Proper conditioning for coherent VaR in portfolio management
Year of publication: |
2007
|
---|---|
Authors: | Garcia, René ; Renault, Éric ; Tsafack, Georges |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 53.2007, 3, p. 483-494
|
Subject: | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Operations Research | Operations research |
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