Financial prediction with constrained tail risk

Journal of Banking and Finance

Volumn 31, Issue 11, 2007, Pages 3524-3538

  Trindade, A Alexandre ^a   Uryasev, Stan ^b   Shapiro, Alexander ^c   Zrazhevsky, Grigory ^b  

^a University of Florida   (United States)

^b J Crayton Pruitt Family Department of Biomedical Engineering   (United States)

^c Georgia Institute of Technology   (United States)

Author keywords

Asymmetric loss; Constrained regression; Quantile regression; Risk measure; Value at risk

Indexed keywords

EID: 35448973220     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.04.014     Document Type: Article

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