Empirical Analysis of Value at Risk and Expected Shortfall in Portfolio Selection Problem
Safety first criterion and mean-shortfall criterion both explore cases of assets allocation with downside risk. In this paper, I compare safety first portfolio selection problem and mean-shortfall portfolio optimization problem, considering risk averse investors in practice. Safety first portfolio s...
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| Format: | Others |
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2013
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| Online Access: | http://hdl.handle.net/1969.1/148430 |