How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation
Kazuki Nakamura
| Year of publication: |
2023
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| Authors: | Nakamura, Kazuki |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 4, p. 1-5
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| Subject: | Portfolio theory | Stochastic dominance | Tail conditional expectation | Value at risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Risikomaß | Risk measure | Erwartungsbildung | Expectation formation | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104668 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014633349