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, Birbil, S.I. ; Frenk, Frenk, J.B.G. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | conditional value-at-risk | disutility | elliptical distributions | linear loss functions | portfolio optimization | value-at-risk |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems: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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Risk measures and their applications in asset management
Birbil, Birbil, S.I., (2008)
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Birbil, Birbil, S.I., (2005)
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Birbil, Birbil, S.I., (2004)
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