Stability analysis of portfolio management with conditional value-at-risk

Author： Kaut Michal   Vladimirou Hercules   Wallace Stein W.   Zenios Stavros A.  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.7, Iss.4, 2007-08, pp. : 397-409

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

By Silvapulle P.   Granger C.W.J.  

Quantitative Finance, Vol. 1, Iss. 5, 2001-05 ,pp. : 542-551

Routledge Ltd

Access to resources Recommend Favorite

Portfolio optimization under the Value-at-Risk constraint

By Pirvu Traian A.  

Quantitative Finance, Vol. 7, Iss. 2, 2007-04 ,pp. : 125-136

Routledge Ltd

Access to resources Recommend Favorite

Reliability-based portfolio optimization with conditional value at risk (CVaR)

By Sengupta Raghu Nandan   Sahoo Siddharth  

Quantitative Finance, Vol. 13, Iss. 10, 2013-10 ,pp. : 1637-1651

Routledge Ltd

Access to resources Recommend Favorite

Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

By Santos Andr A. P.   Nogales Francisco J.   Ruiz Esther  

Journal of Financial Econometrics, Vol. 11, Iss. 2, 2013-03 ,pp. : 400-441

Oxford University Press

Access to resources Recommend Favorite

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

By Rombouts Jeroen   Verbeek Marno  

Quantitative Finance, Vol. 9, Iss. 6, 2009-09 ,pp. : 737-745

Routledge Ltd

Access to resources Recommend Favorite