CAPM and APT-like models with risk measures

Author:

Balbás Alejandro,Balbás Beatriz,Balbás Raquel

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference37 articles.

1. Minimizing CVaR and VaR for a portfolio of derivatives;Alexander;Journal of Banking & Finance,2006

2. Performance evaluation of portfolio insurance strategies using stochastic dominance criteria;Annaert;Journal of Banking & Finance,2009

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. Compatibility between pricing rules and risk measures: The CCVaR;Balbás;Revista de la Real Academia de Ciencias, RACSAM,2009

5. Extending pricing rules with general risk functions;Balbás;European Journal of Operational Research,2010

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