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Risk measures and their applications in asset management
Bi̇rbi̇l, Ş. İlker; Frenk, Johannes G.; Kaynar, Bahar; … - 2008
Persistent link: https://www.econbiz.de/10003754329
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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, S. Ilker; Frenk, J. B. G. - 2013
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...
Persistent link: https://www.econbiz.de/10014026080
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Risk measures and their applications in asset management
Bi̇rbi̇l, Ş. İlker; Frenk, Hans; Kaynar, Bahar; … - In: The VaR implementation handbook, (pp. 311-338). 2009
Persistent link: https://www.econbiz.de/10003827082