Noise sensitivity of portfolio selection under various risk measures

Journal of Banking and Finance

Volumn 31, Issue 5, 2007, Pages 1545-1573

  Kondor, Imre ^a,b   Pafka, Szilárd ^b,c   Nagy, Gábor ^d  

^a INSTITUTE FOR ADVANCED STUDY   (Hungary)

^b EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^c Paycomnet   (United States)

^d CIB Bank   (Hungary)

Author keywords

Estimation noise; Expected shortfall; Portfolio optimization; Risk measures

Indexed keywords

EID: 34247164965     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.12.003     Document Type: Article

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