Risk measures and their applications in asset management
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Cited by:
- Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017.
"Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors,"
JRFM, MDPI, vol. 10(1), pages 1-14, February.
- Dobrislav Dobrev & Travis D. Nesmith & Dong Hwan Oh, 2016. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065, Board of Governors of the Federal Reserve System (U.S.).
- Li, Boda & Chen, Ying & Wei, Wei & Hou, Yunhe & Mei, Shengwei, 2022. "Enhancing resilience of emergency heat and power supply via deployment of LNG tube trailers: A mean-risk optimization approach," Applied Energy, Elsevier, vol. 318(C).
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Keywords
conditional value-at-risk; elliptical distributions; mean-risk; portfolio optimization; value-at-risk;All these keywords.
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