ListarGrau en Finances i Comptabilitat por tema "Historical Value at Risk"

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    • openAccess   Portfolio optimization: historical value at risk vs expected shortfall 

      Casaña Nomdedeu, Sergio Universitat Jaume I (2021)
      The main objective of this thesis is to compare the weightings of different efficient portfolios by using two different approaches to measure the risk: Historical Value at Risk (HVaR) and Expected Shortfall (ES) both for ...