Estimation and decomposition of downside risk for portfolios with non-normal returns
Kris Boudt; Brian Peterson; Christophe Croux
| Year of publication: |
2009
|
|---|---|
| Authors: | Boudt, Kris ; Peterson, Brian ; Croux, Christophe |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 11.2008/09, 2, p. 79-103
|
| Subject: | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Dekompositionsverfahren | Decomposition method |
| 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/10003809417