The instability of downside risk measures

Journal of Statistical Mechanics: Theory and Experiment

Volumn 2008, Issue 12, 2008, Pages

  Varga Haszonits, I ^a,b   Kondor, I ^a,c,d  

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^b Analytics Department of Fixed Income Division   (Hungary)

^c INSTITUTE FOR ADVANCED STUDY   (Hungary)

^d Parmenides Center for the Study of Thinking   (Germany)

Author keywords

Cavity and replica method; Critical phenomena of socio economic systems; Risk measure and management

Indexed keywords

EID: 65549147128     PISSN: 17425468     EISSN: 17425468     Source Type: Journal    
DOI: 10.1088/1742-5468/2008/12/P12007     Document Type: Article

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