"29. Numerical Comparison of Conditional Value-at-Risk and Conditional ..."

Pavlo A. Krokhmal, Stan Uryasev, Grigoriy Zrazhevsky (2005)

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DOI: 10.1137/1.9780898718799.CH29

access: closed

type: Part in Book or Collection

metadata version: 2020-05-28

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Pavlo A. Krokhmal, Stan Uryasev, Grigoriy Zrazhevsky:
29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds. Applications of Stochastic Programming 2005: 609-631

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