Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study
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| Дата: | 2018 |
|---|---|
| Автори: | , , |
| Формат: | Стаття |
| Мова: | English |
| 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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Library portal of National Academy of Sciences of Ukraine | LibNAS| id |
open-sciencenbuvgovua-33492 |
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dspace |
| 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 |
| institution |
Library portal of National Academy of Sciences of Ukraine | LibNAS |
| collection |
Open-Science |
| language |
English |
| series |
Economic annals-XXI |
| 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 |
| format |
Article |
| author |
T. Zabolotskyy V. Vitlinskyy V. Shvets |
| author_facet |
T. Zabolotskyy V. Vitlinskyy V. Shvets |
| author_sort |
T. Zabolotskyy |
| 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_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_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_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 |
| publishDate |
2018 |
| url |
http://jnas.nbuv.gov.ua/article/UJRN-0001055262 |
| work_keys_str_mv |
AT tzabolotskyy optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy AT vvitlinskyy optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy AT vshvets optimalityoftheminimumvarportfoliousingcvarasariskproxyinthecontextoftransitiontobaseliiimethodologyandempiricalstudy |
| first_indexed |
2024-03-30T08:45:45Z |
| last_indexed |
2024-03-30T08:45:45Z |
| _version_ |
1796880765994139648 |