Risk measures and their applications in asset management
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References listed on IDEAS
- Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2002. "Portfolio Value-at-Risk with Heavy-Tailed Risk Factors," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 239-269.
- repec:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003104 is not listed on IDEAS
- Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, University Library of Munich, Germany.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Huisman, R. & Koedijik, K.G. & Pownall, R.A.J., 1998. "VaR-x: Fat Tails in Financial Risk Management," Papers 98-54, Southern California - School of Business Administration.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
More about this item
Keywordsconditional value-at-risk; elliptical distributions; mean-risk; portfolio optimization; value-at-risk;
StatisticsAccess and download statistics
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