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ArticleSpectral risk measures and portfolio selection

Mohamed Houkari2008

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Articlegreen2008

Spectral risk measures and portfolio selection

Mohamed Houkari · Jean‐Paul Laurent

134 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 1987The Dual Theory of Choice under Risk 2005Quantitative Risk Management: Concepts, Techniques, and Tools

Cited by

2020Diversification and portfolio theory: a review 2008Two-sided coherent risk measures and their application in realistic portfolio optimization 2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles 2009Risk factor contributions in portfolio credit risk models 2009Distortion Risk Measures in Portfolio Optimization 2022COVID‐19 crisis and risk spillovers to developing economies: Evidence from Africa

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Year2008

Typearticle

Published2008-01-14

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations134

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ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2007.12.032

openalex_workW2267865451

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2013

Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis

2014A linear risk-return model for enhanced indexation in portfolio optimization