Living on the edge: how risky is it to operate at the limit of the tolerated risk?

DOI10.1007/s10479-009-0604-6zbMath1195.91149OpenAlexW2060655959MaRDI QIDQ1958617

José R. Rodríguez-Mancilla

Publication date: 4 October 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0604-6

zbMATH Keywords

value-at-riskrisk measureconditional value-at-riskinvestor

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

\textit{Ex-ante} real estate value at risk calculation method

Cites Work

• Duality and martingales: a stochastic programming perspective on contingent claims
• The duality of option investment strategies for hedge funds
• Coherent Measures of Risk
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