Conditional value-at-risk for general loss distributions

R. Tyrrell Rockafellar، نويسنده , , Stanislav Uryasev، نويسنده ,

روزنامه با شماره پیاپی سال 2002

29

1443

1471

Coherent risk measures , Risk sampling , Index tracking , Hedging , Portfolio optimization , Risk management , Scenarios , Value-at-Risk , Mean shortfall , Conditional value-at-risk

Journal of Banking and Finance

2002

Journal of Banking and Finance

193399