An approach to capital allocation based on mean conditional value-at-risk
Yuecai Han, Fengtong Zhang and Xinyu Liu
| Year of publication: |
2023
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|---|---|
| Authors: | Han, Yuecai ; Zhang, Fengtong ; Liu, Xinyu |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 25.2023, 6, p. 53-71
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| Subject: | mean conditional value-at-risk (MCVaR) | capital allocation | nonparametric estimation | blockwise bootstrap | risk preference | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Bootstrap-Verfahren | Bootstrap approach | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomanagement | Risk management | Risikopräferenz | Risk attitude | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2023.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014546366