Title of article
Analysis of criteria VaR and CVaR
Author/Authors
Andrey I. Kibzun، نويسنده , , Evgeniy A. Kuznetsov، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
18
From page
779
To page
796
Keywords
Conditional Value-at-Risk (Integeral quantile function) , Convexity of VaR and CVaR , Portfolioselection , stochastic programming , Criteria for decision-making under risk , Value-at-Risk (Quantile function)
Journal title
Journal of Banking and Finance
Serial Year
2005
Journal title
Journal of Banking and Finance
Record number
193845
Link To Document