Noise sensitivity of portfolio selection under various risk measures-Reference-Cited by-同舟云学术

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Noise sensitivity of portfolio selection under various risk measures

Published:2007-05 Issue:5 Volume:31 Page:1545-1573
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Kondor Imre,Pafka Szilárd,Nagy Gábor

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference35 articles.

1. Coherent representations of subjective risk-aversion;Acerbi,2004

2. On the coherence of expected shortfall;Acerbi;Journal of Banking and Finance,2002

3. Algorithmics, 2002. Scenario, risk/reward and risk/risk optimization. Tech. rep., Algorithmics Inc.

4. Bachelier, L., 1900. Théorie de la spéculation. Ph.D. thesis.

5. Is Econophysics a solid science?;Burda;Acta Physica Polonica B,2003

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