Optimal Financial Portfolios

By Stoyan Stoyanov, Svetlozar T. Rachev, Frank J Fabozzi 3. 2007

112 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b59b60898996f3dfdc0a40c6d7b979ea3a8ee79e

Citations in the corpus

• Fat tails, VaR and subadditivity☆ (2013, unknown): “…considered superior to VaR, because they are subadditive, they have not gained much traction in practice.2 Subadditivity of positive homogeneous risk measures guarantees their convexity, which facilitates the identification of optimal portfolios, see e.g. Pflug (2005); Stoyanov et al. (2007).”