Worst-case value at risk on nonlinear portfolios
Year of publication: |
2013
|
---|---|
Authors: | Zymler, Steve ; Kuhn, Daniel ; Rustem, Berç |
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. 59.2013, 1, p. 172-188
|
Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics |
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