Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
| Year of publication: |
2013
|
|---|---|
| Authors: | Stoyanov, Stoyan V. ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
| Published in: |
Operations research models in banking management. - New York, NY : Springer. - 2013, p. 169-187
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009739300