A practitioner's guide to address fat tails and downside risk in portfolio construction
Eva A. Xu and Eric L. Tarkin
| Year of publication: |
2023
|
|---|---|
| Authors: | Xu, Eva A. ; Tarkin, Eric L. |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 21.2023, 2, p. 4-20
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| Subject: | Portfolio construction | portfolio optimization | CVaR | expected shortfall | fat tails | downside risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management |
| 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/10014390390