Work

Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk

Year: 2002

Type: article

Source: RePEc: Research Papers in Economics

Authors: Yasuhiro Yamai, Toshinao Yoshiba

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1522165660

FWCI: 7.134

Cites: 17

Cited by: 55

Related to: 10