Open AccessRisk Allocation Under Shortfall Constraints
Author(s) -
Jan Bertus Molenkamp
Publication year - 2004
Publication title -
the journal of portfolio management
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.914
H-Index - 50
eISSN - 2168-8656
pISSN - 0095-4918
DOI - 10.3905/jpm.2004.319929
Subject(s) - expected shortfall , asset allocation , portfolio , portfolio allocation , computer science , investment strategy , risk management , investment (military) , econometrics , economics , expected utility hypothesis , risk measure , risk analysis (engineering) , actuarial science , mathematical optimization , microeconomics , financial economics , finance , mathematics , business , profit (economics) , politics , political science , law
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