RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE
Year of publication: |
2015-07-20
|
---|---|
Authors: | LEE, Ming-Chang |
Publisher: |
Association of Educational and Cultural Cooperation Suceava from Stefan cel Mare Universit |
Subject: | Conditional Value-at-Risk | Value-at-Risk | Efficient frontier | Loan portfolio |
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