Quantile-based optimal portfolio selection
Taras Bodnar, Mathias Lindholm, Erik Thorsén, Joanna Tyrcha
| Year of publication: |
2021
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|---|---|
| Authors: | Bodnar, Taras ; Lindholm, Mathias ; Thorsén, Erik ; Tyrcha, Joanna |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 18.2021, 3, p. 299-324
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| Subject: | Quantile-based return measure | VaR | CVaR | CVoR | Optimal portfolios | Elliptically contoured distributions | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-021-00395-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012615134