An analysis of portfolio selection with multiplicative background risk
Year of publication: |
2013-11-08
|
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Authors: | Guo, Xu ; Wong, Wing-Keung ; Zhu, Lixing |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Background risk | Portfolio selection | VaR | CVaR |
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