Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
Збережено в:
| Дата: | 2018 |
|---|---|
| Автори: | , , |
| Формат: | Стаття |
| Мова: | Англійська |
| Опубліковано: |
2018
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| Назва видання: | Economic annals-XXI |
| Онлайн доступ: | http://jnas.nbuv.gov.ua/article/UJRN-0001055262 |
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| Назва журналу: | Library portal of National Academy of Sciences of Ukraine | LibNAS |
Репозитарії
Library portal of National Academy of Sciences of Ukraine | LibNAS| _version_ | 1859508567285956608 |
|---|---|
| author | T. Zabolotskyy V. Vitlinskyy V. Shvets |
| author_facet | T. Zabolotskyy V. Vitlinskyy V. Shvets |
| author_sort | T. Zabolotskyy |
| collection | Open-Science |
| first_indexed | 2025-07-17T17:08:38Z |
| format | Article |
| id | open-sciencenbuvgovua-33492 |
| institution | Library portal of National Academy of Sciences of Ukraine | LibNAS |
| language | English |
| last_indexed | 2025-07-17T17:08:38Z |
| publishDate | 2018 |
| record_format | dspace |
| series | Economic annals-XXI |
| spelling | open-sciencenbuvgovua-334922024-02-27T22:12:50Z Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study T. Zabolotskyy V. Vitlinskyy V. Shvets 1728-6220 2018 en Economic annals-XXI http://jnas.nbuv.gov.ua/article/UJRN-0001055262 Article |
| spellingShingle | Economic annals-XXI T. Zabolotskyy V. Vitlinskyy V. Shvets Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study |
| title | Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study |
| title_full | Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study |
| title_fullStr | Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study |
| title_full_unstemmed | Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study |
| title_short | Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study |
| title_sort | optimality of the minimum var portfolio using cvar as a risk proxy in the context of transition to basel iii: methodology and empirical study |
| url | http://jnas.nbuv.gov.ua/article/UJRN-0001055262 |
| work_keys_str_mv | AT tzabolotskyy optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy AT vvitlinskyy optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy AT vshvets optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy |