Minimizing CVaR and VaR for a portfolio of derivatives
| Year of publication: |
2006
|
|---|---|
| Authors: | Alexander, S. ; Coleman, T.F. ; Li, Y. |
| Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 30.2006, 2, p. 583-605
|
| Publisher: |
Elsevier |