Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Chenghu Ma; Wing-Keung Wong
| Year of publication: |
2010
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|---|---|
| Authors: | Ma, Chenghu ; Wong, Wing Keung |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 207.2010, 2 (1.12.), p. 927-935
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| Subject: | Risikomaß | Risk measure | Theorie | Theory | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection |
| 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://ebvufind01.dmz1.zbw.eu/10008652647