Mean-variance, mean-VaR, and mean-CVaR models for portfolio selection with background risk
Xu Guo, Raymond H. Chan, Wing-Keung Wong, Lixing Zhu
| Year of publication: |
2019
|
|---|---|
| Authors: | Guo, Xu ; Chan, Raymond H. ; Wong, Wing Keung ; Zhu, Lixing |
| Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 21.2019, 2, p. 73-98
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| Subject: | Background risk | Portfolio selection | VaR | CVaR | Mean-variance model | Portfolio-Management | Risikomaß | Risk measure | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-018-0043-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012060286