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conditional value-at-risk 1 elliptical distributions 1 mean-risk 1 portfolio optimization 1 value-at-risk 1
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Free 1
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Book / Working Paper 1
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Birbil, S.I. 1 Frenk, J.B.G. 1 Kaynar, B. 1 Noyan, N. 1
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Erasmus University Rotterdam, Econometric Institute 1
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Econometric Institute Report 1
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Risk measures and their applications in asset management
Birbil, S.I.; Frenk, J.B.G.; Kaynar, B.; Noyan, N. - Erasmus University Rotterdam, Econometric Institute - 2008
Several approaches exist to model decision making under risk, where risk can be broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses mean-risk models; one such well-known is the classical Markowitz model,...
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