Systemic risk-driven portfolio selection
Agostino Capponi, Alexey Rubtsov
| Year of publication: |
2022
|
|---|---|
| Authors: | Capponi, Agostino ; Rubtsov, Alexey |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 3, p. 1598-1612
|
| Subject: | CoVaR | Financial Engineering | portfolio selection | risk management | risk-adjusted returns | systemic risk | VaR | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Financial engineering |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2021.2234 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013366163