Title of article
Master funds in portfolio analysis with general deviation measures
Author/Authors
R. Tyrrell Rockafellar، نويسنده , , Stan Uryasev، نويسنده , , Michael Zabarankin، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
36
From page
743
To page
778
Keywords
Deviation measures , Risk measures , Conditional value-at-risk , One-fund theorem , Basic fund , Master fund , Efficient frontier , Convex analysis , Portfolio optimization , Value-at-Risk
Journal title
Journal of Banking and Finance
Serial Year
2005
Journal title
Journal of Banking and Finance
Record number
193844
Link To Document