Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems : a comparison with mean-variance analysis

Mario Brandtner

Year of publication:	2013
Authors:	Brandtner, Mario
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 12, p. 5526-5537
Subject:	Portfolio selection \| Spectral risk measures \| Conditional Value-at-Risk \| Comonotonicity \| Efficient frontier \| Optimal portfolio \| Portfolio-Management \| Risikomaß \| Risk measure \| Theorie \| Theory \| Risiko \| Risk \| Risikomanagement \| Risk management \| Messung \| Measurement

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