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~person:"Frenk, Frenk, J.B.G."
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Conditional value-at-risk
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Disutility
1
Elliptical distributions
1
Linear loss functions
1
Portfolio optimization
1
Value-at-risk
1
conditional value-at-risk
1
disutility
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elliptical distributions
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linear loss functions
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portfolio optimization
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value-at-risk
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Frenk, Frenk, J.B.G.
Sarlin, Peter
6
Franses, Philip Hans
5
Mayer, Thomas
5
Paap, Richard
5
Kaynar, B.
4
Legerstee, Rianne
4
Monostoriné Grolmusz, Viola
4
Bams, Dennis
3
Fildes, Robert
3
Lehnert, Thorsten
3
Miller, Stephen M.
3
Schweinitz, Gregor von
3
Yuan, Huiping
3
Afzaal, Mehreen
2
Aksezer, Caglar S.
2
Alade, Sarah O.
2
Aretz, Kevin
2
Aslam, Muhammad
2
Bartram, Söhnke M.
2
Benneyan, James C.
2
Berndt, Mihály
2
Bhatti, Muhammad Ishaq
2
Birbil, Birbil, S.I.
2
Birbil, S.I.
2
Burger, Csaba
2
Carriero, Andrea
2
Doguwa, Sani I.
2
Frenk, J.B.G.
2
Giacomini, Raffaella
2
Kakollu, Sravya Roy
2
Leeuw, Jan
2
Marcucci, Juri
2
Pope, Peter F.
2
Skitmore, Martin
2
Stracca, Livio
2
Vommi, Vijaya Babu
2
al-Nowaihi, Ali
2
von Schweinitz, Gregor
2
Abd-Ellah, Ahmed H.
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
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ERIM Report Series Research in Management
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Econometric Institute Research Papers
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RePEc
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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
Saved in:
2
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.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2007
We discuss a class of risk measures for portfolio optimization with linear
loss
functions
, where the random returns of …
Persistent link: https://www.econbiz.de/10010731653
Saved in:
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