Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures
type: Item
instance of: scholarly article
title: Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures
zbMATH Open document ID: 1204.91124
author: Yi Wang
author: Zhiping Chen
author: Kecun Zhang
published in: Applied Mathematics. Series B (English Edition)
publication date: 2011-01-29T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5842858
zbMATH Keywords: mean-risk model
zbMATH Keywords: portfolio optimization
zbMATH Keywords: value at risk
zbMATH Keywords: expected shortfall
zbMATH Keywords: efficient frontier
MaRDI profile type: Publication
full work available at URL: s11766-006-0001-8
OpenAlex ID: W2061541636
cites work: Variance vs downside risk: Is there really that much difference?
cites work: Optimality conditions in portfolio analysis with general deviation measures
cites work: Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
cites work: Coherent measures of risk
cites work: Common risk factors in the returns on stocks and bonds
cites work: Q3996150
DOI: 10.1007/S11766-006-0001-8
description: scientific article; zbMATH DE number 5842858