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This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the efficient frontiers obtained by solving the portfolio...
Persistent link: https://www.econbiz.de/10005859370
integrate the significant factors into any reasonable bank risk, portfolio or capital management framework or approaches for …
Persistent link: https://www.econbiz.de/10005858102