Downside risk in multiperiod tracking error models
Diana Barro; Elio Canestrelli
| Year of publication: |
2014
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|---|---|
| Authors: | Barro, Diana ; Canestrelli, Elio |
| Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 22.2014, 2, p. 263-283
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| Subject: | Tracking error | Downside risk | Dynamic portfolio | Stochastic programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Statistischer Fehler | Statistical error | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010356930