A comparison between Optimal Allocations Based on the Modified VaR and those based on a Utility-Based Risk Measure

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Bodson, Laurent; Coën, Alain; Hübner, Georges

2009 • In Gregoriou, Greg (Ed.) The VaR Modeling Handbook

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Disciplines :

Finance

Author, co-author :

Bodson, Laurent ; Université de Liège - ULiège > HEC-Ecole de gestion : UER > UER Finance et Droit

Coën, Alain; UQAM

Hübner, Georges ; Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière

Language :

English

Title :

A comparison between Optimal Allocations Based on the Modified VaR and those based on a Utility-Based Risk Measure

Publication date :

2009

Main work title :

The VaR Modeling Handbook

Author, co-author :

Gregoriou, Greg

Publisher :

McGraw-Hill

ISBN/EAN :

0071625151

Collection name :

Finance & Investing Series

Pages :

55-70

Available on ORBi :

since 23 March 2010

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