Modified expected shortfall : a new robust coherent risk measure
Deepak Jadhav, T.V. Ramanathan and U.V. Naik-Nimbalkar
| Year of publication: |
2013
|
|---|---|
| Authors: | Jadhav, Deepak ; Ramanathan, T. V. ; Naik-Nimbalkar, Uttara |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 1, p. 69-83
|
| Subject: | Portfolio | Regulators | Risk measures | Value-at-risk (VAR) | Original research | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk | Theorie | Theory | Messung | Measurement | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2013.269 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262918