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Stanislav Uryasev

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

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152

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3

Scholarly Papers (1)

1.

Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation

University of Florida Working Paper Series No. 2011-2
Number of pages: 23 Posted: 16 Apr 2011 Last Revised: 27 Apr 2011
University of Florida, affiliation not provided to SSRN and University of Washington - Department of Mathmatics
Downloads 152 (488,442)
Citation 3

Abstract:

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Capital Asset Pricing Model (CAPM), master fund, risk preferences, value-at-risk (VaR), conditional value-at-risk (CVaR), mixed CVaR deviation