341 search results - page 10 / 69 » Maturity-independent risk measures |
ACSW
2004
13 years 10 months ago
2004
This paper describes a method for risk analysis based on the approach used in CRAMM, but instead of using discrete measures for threats and vulnerabilities and lookup tables to de...
FS
2011
13 years 3 months ago
2011
[KLSX91] ensure the existence of the expected utility maximizer for investors with constant relative risk aversion coefficients less than one. In this note, we explain a simple tr...
FS
2006
13 years 8 months ago
2006
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
IMCSIT
2010
13 years 6 months ago
2010
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
FS
2010
13 years 6 months ago
2010
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...