Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied …
ABSTRACT AND KEYWORDS
Abstract
In this paper portfolio problems with linear loss functions and multivariate elliptical … conducted.
Free Keywords
Elliptical distributions, Linear loss functions, Value-at-risk, Conditional value …