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Risikomessung mit Shortfall-Maßen: Das Programm MAMBA - Metzler Asset Management Benchmark Analyser

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  • Korn, Olaf
  • Schröder, Michael
  • Szczesny, Andrea
  • Winschel, Viktor

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Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Dokumentationen with number 96-09.

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Date of creation: 1996
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Handle: RePEc:zbw:zewdok:9609

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  1. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, Elsevier, vol. 2(1), pages 95-121, March.
  2. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(03), pages 285-311, September.
  3. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, American Economic Association, vol. 67(2), pages 116-26, March.
  4. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 189-200, November.
  5. Wayne Y. Lee & Ramesh K. S. Rao, 1988. "Mean Lower Partial Moment Valuation and Lognormally Distributed Returns," Management Science, INFORMS, INFORMS, vol. 34(4), pages 446-453, April.
  6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, American Finance Association, vol. 7(1), pages 77-91, 03.
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