Dynamic portfolio managment based on complex quantile risk measures
The article focuses on effectiveness evaluation combined measures of financial risks, which are convex combinations of measures VaR, CVaR and their analogues for the right distribution tail functions of a portfolio returns.
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| Format: | Article |
| Language: | Russian |
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Academic Publishing House Researcher
2011-05-01
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| Series: | Evropejskij Issledovatelʹ |
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| Online Access: | http://www.erjournal.ru/journals_n/1309443174.pdf |