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: 
20070328


Authors:  Kaynar, B. ; Birbil, S.I. ; Frenk, J.B.G. 
Institutions:  Erasmus University Rotterdam, Econometric Institute 
Subject:  elliptical distributions  linear loss functions  valueatrisk  conditional valueatrisk  portfolio optimization  disutility 
Extent:  application/pdf 

Series:  Econometric Institute Report.  ISSN 15667294. 
Type of publication:  Book / Working Paper 
Notes:  The text is part of a series RePEc:dgr:eureir Number EI 200712 
Source: 

Kaynar, B., (2007)

Kaynar, B., (2007)

Kaynar, B., (2007)
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