Master funds in portfolio analysis with general deviation measures-Reference-Cited by-同舟云学术

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Master funds in portfolio analysis with general deviation measures

Published:2006-02 Issue:2 Volume:30 Page:743-778
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Rockafellar R. Tyrrell,Uryasev Stan,Zabarankin Michael

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Spectral measures of risk: A coherent representation of subjective risk aversion;Acerbi;Journal of Banking and Finance,2002

2. Acerbi, C., Simonetti, P., 2002. Portfolio optimization with spectral measures of risk, preprint.

3. Expected shortfall: A natural coherent alternative to value at risk;Acerbi;Economic Notes,2002

4. Economic implications of using mean-VaR model for portfolio selection: A comparison with mean-variance analysis;Alexander;Economic Dynamics and Control,2002

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

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