COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?

DOI10.1142/S0219024904002712zbMath1090.91050OpenAlexW2064149975MaRDI QIDQ4662053

Nils Chr. Framstad

Publication date: 30 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002712

zbMATH Keywords

market risksystemic riskportfolio separationRisk measures

Mathematics Subject Classification ID

Related Items (3)

Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM ⋮ Portfolio separation properties of the skew-elliptical distributions, with generalizations ⋮ DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

Cites Work

• Mutual fund separation in financial theory - the separating distributions
• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• Coherent risk measures and good-deal bounds

This page was built for publication: COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?