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. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...
