The generalized value at risk admissible set: constraint consistency and portfolio outcomes
Year of publication: |
2006
|
---|---|
Authors: | Bowden, Roger |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 2, p. 159-171
|
Publisher: |
Taylor & Francis Journals |
Subject: | Admissible set | Censored mean | Conditional value at risk | Effective utility functions | Generalized value at risk | Hazard functions | Hedging | Portfolio choice | Value at risk |
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