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Equilibrium with investors using a diversity of deviation measures
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Journal of banking & finance 31 (2007) 11, pp. 3251-3268
Persistent link: https://www.econbiz.de/10003577312
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Master funds in portfolio analysis with general deviation measures
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Journal of banking & finance 30 (2006) 2, pp. 743-778
Persistent link: https://www.econbiz.de/10003291372
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Generalized deviations in risk analysis
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Finance and stochastics 10 (2006) 1, pp. 51-74
Persistent link: https://www.econbiz.de/10003234949
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Conditional value-at-risk for general loss distributions
Rockafellar, Ralph Tyrrell; Uryasev, Stanislav - In: Journal of banking & finance 26 (2002) 7, pp. 1443-1471
Persistent link: https://www.econbiz.de/10001688522
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Tax basis and nonlinearity in cash stream valuation
Dermody, Jaime C. - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 97-119
Persistent link: https://www.econbiz.de/10001185059
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Optimization of conditional value-at-risk
Rockafellar, R. Tyrrell; Uryasev, Stanislav - In: Innovations in risk management : seminal papers from …, (pp. 179-204). 2004
Persistent link: https://www.econbiz.de/10002600304