Portfolio Selection Model Using CVAR and MDD Risk Measures
Konštrukcia modelu výberu portfólia, ktorý zohľadňuje oba aspekty investičného rizika. Meria podmienenú hodnotu v riziku (CVaR) a maximum čerpania (MDD). Súbor efektívnych riešení pre stanovené parametre modelu, ktoré odrážajú rôzne kombinácie stanovených hodnôt, očakávaných výnosov a rizík.
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| Formato: | Capítulo de Livro |
| Idioma: | inglês |
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