Robust Portfolio Selection under Recovery Average Value at Risk
Author:
Affiliation:
1. Department of Economics, University of Verona, 37129 Verona, Italy.
2. House of Insurance and Institute of Actuarial and Financial Mathematics, Leibniz University Hannover, 30167 Hannover, Germany.
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Reference22 articles.
1. Coherent Measures of Risk
2. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
3. Optimal portfolio selection in a Value-at-Risk framework
4. On the feasibility of portfolio optimization under expected shortfall
5. Optimal Dynamic Trading Strategies with Risk Limits
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