Search Results - subject:"Linear loss functions"

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied … ABSTRACT AND KEYWORDS Abstract In this paper portfolio problems with linear loss functions and multivariate elliptical … conducted. Free Keywords Elliptical distributions, Linear loss functions, Value-at-risk, Conditional value …

Persistent link: https://www.econbiz.de/10005505034

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus University Rotterdam, Econometric Institute - 2007

We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of … of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments …. Keywords: Elliptical distributions; linear loss functions; value-at-risk; conditional value-at-risk; portfolio opti- mization …

Persistent link: https://www.econbiz.de/10004972213

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

Kaynar, B.; Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), … - 2007

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied …

Persistent link: https://www.econbiz.de/10010731328

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

Kaynar, B.; Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of …

Persistent link: https://www.econbiz.de/10010731653