A comparison of MAD and CVaR models with real features-Reference-Cited by-同舟云学术

A comparison of MAD and CVaR models with real features

Published:2008-07 Issue:7 Volume:32 Page:1188-1197
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Angelelli Enrico,Mansini Renata,Speranza M. Grazia

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference24 articles.

1. Angelelli, E., Mansini, R., Speranza, M.G., 2005. A comparison of MAD and CVaR with side constraints. Technical Report No. 238, Dipartimento Metodi Quantitativi.

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