Reward-risk portfolio selection and stochastic dominance
Article Abstract:
A mathematical model for arriving at an optimal reward-risk ratio useful for portfolio management is presented. Within the portfolio the selection is based on the stochastic dominance of the investments.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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The hidden dangers of historical simulation
Article Abstract:
The usage of historical value-at-risk computation methods for analyzing the risk factors associated with portfolio management is presented.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Minimizing CVaR and VaR for a portfolio of derivatives
Article Abstract:
The process of optimizing portfolio risk factors by using value at risk and conditional value risk is presented.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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