Risk measures and optimal portfolio selection.

被引：0
|
作者：
Dhaene, J
Vanduffel, S
Tang, QH
Goovaerts, MJ
Kaas, R
Vyncke, D
机构：
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2003年 / 33卷 / 02期
关键词：
Brownian motion; tail value-at-risk; optimal asset allocation;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
引用
收藏
页码：425 / 425
页数：1
相关论文
共 50 条
  • [1] Selection of optimal investment portfolio based on the model with two measures of risk
    Gluzicka, Agata
    [J]. MANAGING AND MODELLING OF FINANCIAL RISKS - 5TH INTERNATIONAL SCIENTIFIC CONFERENCE, 2010, : 115 - 124
  • [2] Optimal portfolio selection via conditional convex risk measures on Lp
    Acciaio B.
    Goldammer V.
    [J]. Decisions in Economics and Finance, 2013, 36 (1) : 1 - 21
  • [3] Spectral risk measures and portfolio selection
    Adam, Alexandre
    Houkari, Mohamed
    Laurent, Jean-Paul
    [J]. JOURNAL OF BANKING & FINANCE, 2008, 32 (09) : 1870 - 1882
  • [4] Several risk measures in portfolio selection: Is it worthwhile?
    Samuel Baixattli-Soler, J.
    Alfaro-Cid, Eva
    Fernandez-Blanco, Matilde O.
    [J]. REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD-SPANISH JOURNAL OF FINANCE AND ACCOUNTING, 2010, 39 (147): : 421 - 444
  • [5] Optimal portfolio selection: The value at risk case
    R Bramante
    B Cazzaniga
    [J]. Journal of Asset Management, 2000, 1 (2) : 132 - 137
  • [6] Hedging crash risk in optimal portfolio selection
    Zhu, Shushang
    Zhu, Wei
    Pei, Xi
    Cui, Xueting
    [J]. JOURNAL OF BANKING & FINANCE, 2020, 119
  • [7] Optimal portfolio and consumption selection with default risk
    Lijun Bo
    Yongjin Wang
    Xuewei Yang
    [J]. Frontiers of Mathematics in China, 2012, 7 : 1019 - 1042
  • [8] Optimal portfolio and consumption selection with default risk
    Bo, Lijun
    Wang, Yongjin
    Yang, Xuewei
    [J]. FRONTIERS OF MATHEMATICS IN CHINA, 2012, 7 (06) : 1019 - 1042
  • [9] Risk forecasting models and optimal portfolio selection
    Moreno, D
    Marco, P
    Olmeda, I
    [J]. APPLIED ECONOMICS, 2005, 37 (11) : 1267 - 1281
  • [10] On efficient portfolio selection using convex risk measures
    Kountzakis, Christos E.
    [J]. MATHEMATICS AND FINANCIAL ECONOMICS, 2011, 4 (03) : 223 - 252
12345