Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
Year of publication: |
Apr. 2009
|
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Authors: | Bugar, Gyöngyi ; Maurer, Raimund ; Vo, Huy Thanh |
Publisher: |
Frankfurt am Main : Univ., Fachbereich Wirtschaftswiss. |
Subject: | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Wahrscheinlichkeitsrechnung | Probability theory | Momentenmethode | Method of moments | Faktorenanalyse | Factor analysis | Portfolio-Management | Portfolio selection | Schwellenländer | Emerging economies | Theorie | Theory |
Extent: | Online-Ressource (36 S.) graph. Darst. |
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Series: | Working paper series / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften. - Frankfurt, M. : [Verlag nicht ermittelbar], ZDB-ID 2139837-9. |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/39047 [Handle] |
Classification: | G11 - Portfolio Choice ; G15 - International Financial Markets ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
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