A multidimensional framework for risk analysis

Financial Analysts Journal

Volumn 53, Issue 4, 1997, Pages 51-57

  Fong, Gifford ^a   Vasicek, Oldrich A ^b  

^a Gifford Fong Associates   (United States)

^b KMV Corporation   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1642365351     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v53.n4.2099     Document Type: Article

References (8)

1. Fabozzi, Frank J. 1988. Fixed Income Mathematics. Chicago: Probus Publishing.
2. Group of Thirty. 1993. Derivatives: Practices and Principles. Washington, DC: Group of Thirty (July).
3. Leibowitz, Martin, and Roy D. Henriksson. 1989. "Portfolio Optimization with Shortfall Constraints: A Confidence-Limit Approach to Managing Downside Risk." Financial Analysts Journal, vol. 45, no. 2 (March/April):34-41.
4. Markowitz, Harry M. 1952. "Portfolio Selection." Journal of Finance, vol. 7, no. 1 (March):77-91.
5. _. 1959. Portfolio Selection. New Haven, CT: Yale University Press.
6. Rosenberg, Barr, and James Guy. 1976a. "Beta and Investment Fundamentals" Financial Analysts Journal, vol. 32, no. 3 (May/June 1976):60-72.
7. _. 1976b. "Beta and Investment Fundamentals - II." Financial Analysts Journal, vol. 32, no. 4 (July/August):62-71.
8. Sharpe, William F. 1964. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance, vol. 19, no. 3 (September):425-42.