Spectral risk measures and portfolio selection

Journal of Banking and Finance

Volumn 32, Issue 9, 2008, Pages 1870-1882

  Adam, Alexandre ^a   Houkari, Mohamed ^a,b   Laurent, Jean Paul ^a,b  

^a Financial Models   (France)

^b UNIVERSITÉ LYON 1   (France)

Author keywords

Distortion risk measures; Expected shortfall; Hedge funds; Portfolio selection; Spectral risk measures

Indexed keywords

EID: 48949105343     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.032     Document Type: Article

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