Stability analysis of portfolio management with conditional value-at-risk

Quantitative Finance

Volumn 7, Issue 4, 2007, Pages 397-409

  Kaut, Michal ^a   Vladimirou, Hercules ^b   Wallace, Stein W ^a   Zenios, Stavros A ^b  

^a MOLDE UNIVERSITY COLLEGE   (Norway)

^b UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

Conditional value at risk; Estimation errors; Impact of higher order moments; Portfolio management; Stability analysis

Indexed keywords

EID: 34548304479     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701483222     Document Type: Article

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