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~institution:"Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam"
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Conditional value-at-risk
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
Department of Economics, University of Connecticut
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers
Kaynar, B.
;
Birbil, Birbil, S.I.
;
Frenk, Frenk, J.B.G.
-
Erasmus Research Institute of Management (ERIM), …
-
2007
In this paper portfolio problems with linear
loss
functions
and multivariate elliptical distributed returns are studied …
Persistent link: https://www.econbiz.de/10010731328
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