A gradual nonconvexification method for minimizing value-at-risk
Jiong Xi, Thomas F. Coleman, Yuying Li and Aditya Tayal
| Year of publication: |
2014
|
|---|---|
| Authors: | Xi, Jiong ; Coleman, Thomas F. ; Li, Yuying ; Tayal, Aditya |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 3, p. 23-47
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| Subject: | Portfolio | Value-at-risk (VAR) | Risk management | Original research | Risikomanagement | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262924