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Value-at-Risk is one of the most popular risk management tools in the financial industry. Over the past 20 years several attempts to include VaR in the portfolio selection process have been proposed. However, using VaR as a risk measure in portfolio
Externí odkaz:
http://arxiv.org/abs/2111.09773
Autor:
Cesarone, Francesco1 (AUTHOR) francesco.cesarone@uniroma3.it, Martino, Manuel L.1 (AUTHOR), Tardella, Fabio2 (AUTHOR)
Publikováno v:
OR Spectrum. Sep2023, Vol. 45 Issue 3, p1043-1069. 27p.
Value-at-risk is one of the most popular risk management tools in the financial industry. Over the past 20 years, several attempts to include VaR in the portfolio selection process have been proposed. However, using VaR as a risk measure in portfolio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::39f198dd9e2fb4a1f4d88d524081e411
https://link.springer.com/article/10.1007/s00291-023-00719-x#citeas
https://link.springer.com/article/10.1007/s00291-023-00719-x#citeas