Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.
Year of publication: |
2007-03-28
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Authors: | Kaynar, B. ; Birbil, S.I. ; Frenk, J.B.G. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | elliptical distributions | linear loss functions | value-at-risk | conditional value-at-risk | portfolio optimization | disutility |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2007-12 |
Source: |
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Kaynar, B., (2007)
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Kaynar, B., (2007)
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Kaynar, B., (2007)
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