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Noise sensitivity of portfolio selection under various risk measures

Journal of Banking & Finance, no. 5 (2007): 1545-1573

引用90|浏览21
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We study the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We introduce a measure of portfolio sensitivity and test the various risk measures by considering simulated portfolios of varying sizes N and for different lengths T...更多

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