Portfolio value-at-risk optimization for asymmetrically distributed asset returns
Joel Weiqiang Goh; Kian Guan Lim; Melvyn Sim; Weina Zhang
| Year of publication: |
2012
|
|---|---|
| Authors: | Goh, Joel Weiqiang ; Lim, Kian-Guan ; Sim, Melvyn ; Zhang, Weina |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 221.2012, 2 (1.9.), p. 397-406
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| Subject: | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns |
| 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/10009557682