Liquidity risk and instabilities in portfolio optimization
Fabio Caccioli (Department of Computer Science, University College London, London, UK and Systemic Risk Centre, London School of Economics and Political Sciences, /London, UK), Imre Kondor (Parmenides Foundation, Pullach, Germany), Matteo Marsili (Abdus Salam International Centre for Theoretical Physics, Trieste, Italy), Susanne Still (Information and Computer Sciences, University of Hawai'i at Mānoa, Honolulu, Hawai'i, USA)
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Caccioli, Fabio ; Kondor, Imre ; Marsili, Matteo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 5, p. 1-28
|
| Subject: | Portfolio optimization | estimation error | expected shortfall | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500357 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011524891