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A comparison between Optimal Allocations Based on the Modified VaR and those based on a Utility-Based Risk Measure
Bodson, Laurent; Coën, Alain; Hübner, Georges
2009In 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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