An alternative nonparametric tail risk measure
Keith K.F. Law, W.K. Li and Philip L.H. Yu
| Year of publication: |
2021
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| Authors: | Law, Keith K. F. ; Li, Wai Keung ; Yu, Philip L. H. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 4, p. 685-696
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| Subject: | Asset pricing | Risk neutralization | Risk optimization | Stochastic discount factor | Risiko | Risk | Theorie | Theory | Risikomaß | Risk measure | CAPM | Stochastischer Prozess | Stochastic process | Diskontierung | Discounting | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Messung | Measurement | Nichtparametrisches Verfahren | Nonparametric statistics | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1787491 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483847