Similar Search Results

The cost of delay as risk measure in target-based multi-period portfolio selection models

Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377

Persistent link: https://www.econbiz.de/10014634191

Portfolio selection based on Asymmetric Laplace distribution, coherent risk measure, and expectation-maximization estimation

Shi, Yue; Ng, Chi Tim; Yiu, Ka-Fai Cedric - In: Quantitative finance and economics 2 (2018) 4, pp. 776-797

Persistent link: https://www.econbiz.de/10012176101

Marktrisiken : Portfoliotheorie und Risikomaße

Kremer, Jürgen - 2018

Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der Expected Shortfall -- Lösungen der Übungsaufgaben -- Index -- Literaturverzeichnis.

Persistent link: https://www.econbiz.de/10014018592

Downside-orientiertes Portfoliomanagement

Reichling, Peter - 2017

Einführung -- Downside-Risiko-Kriterien -- Downside-minimale Portfolios -- Downside-Restriktionen -- Downside-Effizienz -- Downside-orientierte Bewertung -- Downside-orientierte Portfolioabsicherung -- Zusammenfassung.

Persistent link: https://www.econbiz.de/10014019581

The Use of Risk Budgets in Portfolio Optimization

Unger, Albina - 2015

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...