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Keywords: Elliptical distributions
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Journal Articles
Portfolio optimization based on modified expected shortfall
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2019) 36 (3): 440–463.
Published: 28 June 2019
...) is found to be a coherent risk measure under univariate and multivariate elliptical distributions. This paper presents an approach of portfolio optimization based on mean-modified expected shortfall for the elliptical family of distributions. Findings It is proved that the modified expected shortfall...
