Open AccessEstimation and decomposition of downside risk for portfolios with non-normal returns
Author(s) -
Kris Boudt,
Brian G. Peterson,
Christophe Croux
Publication year - 2008
Publication title -
the journal of risk
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.224
H-Index - 11
eISSN - 1755-2842
pISSN - 1465-1211
DOI - 10.21314/jor.2008.188
Subject(s) - downside risk , estimator , expected shortfall , value at risk , econometrics , asymptotic analysis , mathematics , economics , statistics , risk management , financial economics , portfolio , finance
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