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Equilibrium with investors using a diversity of deviation measures · Study

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ArticleEquilibrium with investors using a diversity of deviation measures

Ralph Tyrrell Rockafellar2007

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Articlegreen2007

Equilibrium with investors using a diversity of deviation measures

Ralph Tyrrell Rockafellar · Stan Uryasev · Michael Zabarankin

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

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Economic theories and models

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 1966Equilibrium in a Capital Asset Market 1952Portfolio Selection 2002Conditional value-at-risk for general loss distributions

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2012Diversification-consistent data envelopment analysis with general deviation measures 2016A portfolio theory based optimization model for steam coal purchasing strategy: A case study of Taiwan Power Company

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Year2007

Typearticle

Published2007-04-07

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations57

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2007.04.002

openalex_workW3121704535

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