A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis
Year of publication: |
2012
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Authors: | Silvapulle, Param |
Other Persons: | Chen, Xiangjin Bruce (contributor) ; Silvapulle, Mervyn J (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Finanzkrise | Financial crisis |
Extent: | 1 Online-Ressource (56 p) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 9, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.1663492 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C52 - Model Evaluation and Testing ; G11 - Portfolio Choice ; F36 - Financial Aspects of Economic Integration ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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