On the (Mis)Use of Conditional Value-at-Risk and Spectral Risk Measures for Portfolio Selection - A Comparison with Mean-Variance Analysis-Reference-Cited by-同舟云学术

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On the (Mis)Use of Conditional Value-at-Risk and Spectral Risk Measures for Portfolio Selection - A Comparison with Mean-Variance Analysis

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Brandtner Mario

Publisher

Elsevier BV

Reference44 articles.

1. Spectral Measures of Risk: A Coherent Representation of Subjective Risk Aversion;C Acerbi;Journal of Banking and Finance,2002

2. Expected Shortfall: A Natural Coherent Alternative to Value at Risk

3. On the Coherence of Expected Shortfall;C Acerbi;Journal of Banking and Finance,2002

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Conditional Value-at-Risk: An Alternative Measure for Low-Risk Strategies?;SSRN Electronic Journal;2012

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