Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10008652647
This paper is on decision theoretical foundations for various types of VaR models, including VaR and conditional-VaR, as objective measures of downside risk for financial prospects. We establish the connections of the VaRs with the first- and the second-order stochastic dominance investment...
Persistent link: https://www.econbiz.de/10014057675