A semiparametric approach to value-at-risk, expect shortfall and optimum asset allocation in stock-bond portfolios

Xiangjin B. Chen, Param Silvapulle and Mervyn Silvapulle

Year of publication:	2013
Authors:	Chen, Xiangjin B. ; Silvapulle, Paramsothy ; Silvapulle, Mervyn J.
Publisher:	Clayton, Vic. : Dep. of Econometrics and Business Statistics, Monash Univ.
Subject:	Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Theorie \| Theory \| Nichtparametrisches Verfahren \| Nonparametric statistics

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