Minimizing CVaR and VaR for a portfolio of derivatives
S. Alexander, T. F. Coleman, Y. Li
| Year of publication: |
2006
|
|---|---|
| Authors: | Alexander, S. ; Coleman, T. F. ; Li, Yuying |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 30.2006, 2, p. 583-605
|
| Subject: | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Derivat | Derivative | Transaktionskosten | Transaction costs | Risikomaß | Risk measure |
| 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/10003291325