406
Views
34
CrossRef citations to date
0
Altmetric
Original Articles

On the feasibility of portfolio optimization under expected shortfall

, &
Pages 389-396 | Received 03 May 2006, Accepted 24 Apr 2007, Published online: 22 Aug 2007

References

  • Acerbi , C and Tasche , D . 2002 . On the coherence of expected shortfall . J. Bank. Finan. , 26 : 1487 – 1503 .
  • Artzner , P , Delbaen , F , Eber , JM and Heath , D . 1999 . Coherent measures of risk . Math. Finan. , 9 : 203 – 228 .
  • Frey , R and McNeil , AJ . 2002 . VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights . J. Bank. Finan. , 26 ( 7 ) : 1317 – 1334 .
  • Guerra , F and Toninelli , FL . 2004 . The high temperature region of the Viana-Bray diluted spin glass model: In honor of Gianni Jana-Lasinio's 70th birthday . J. Statist. Phys. , 115 : 531 – 555 .
  • Kondor , I , Pafka , S and Nagy , G . 2007 . Noise sensitivity of portfolio selection under various risk measures . J. Bank. Finan. , 31 ( 5 ) : 1545 – 1573 .
  • Mézard , M , Parisi , G and Virasoro , MA . 1987 . Spin Glass Theory and Beyond , Vol. 9 , Singapore : World Scientific . Lecture Notes in Physics
  • Pafka , S and Kondor , I . 2002 . Noisy covariance matrices and portfolio optimization . Eur. Phys. J. , B27 : 277
  • Pflug , GC . 2000 . “ Some remarks on the value-at-risk and the conditional value-at-risk. ” . In Probabilistic Constrained Optimization: Methodology and Applications , Edited by: Uryasev , S. Dordrecht : Kluwer Academic .
  • Press , WH , Teukolsky , SH , Wetterling , WT and Flannery , BP . 1992 . Numerical Recipes in C , Cambridge : Cambridge University Press .
  • Rockafellar , R and Uryasev , S . 2000 . Optimisation of conditional value-at-risk . J. Risk , 2 : 21 – 41 .
  • Talagrand , M . 2002 . Spin Glasses: A Challenge for Mathematicians , Berlin : Springer .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.