Work

Minimizing CVaR and VaR for a portfolio of derivatives

Year: 2005

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2005.04.012

Authors: S. Alexander, T.F. Coleman, Y. Li

Institution: Cornell University

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: W2154756406

FWCI: 10.59

Cites: 23

Cited by: 243

Related to: 10