Proper conditioning for coherent VaR in portfolio management
René Garcia; Éric Renault; Georges Tsafack
| Year of publication: |
2007
|
|---|---|
| Authors: | Garcia, René ; Renault, Éric ; Tsafack, Georges |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 53.2007, 3, p. 483-494
|
| Subject: | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Operations Research | Operations research |
| 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/10003451621