ListarGrau en Finances i Comptabilitat por tema "measure of risk"
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Portfolio optimization: Markowitz approach vs expected shortfall as risk measure.
Universitat Jaume I (2019-07)The objective of this study is to compare the optimal portfolios obtained under two risk measures. On the one hand, under the risk measure used by the Markowitz approach (1952, 1959). On the other hand, under the measure ...