Mario Brandtner

University of Jena

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Jena, Thuringa 07743

Germany

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On the (Mis)Use of Conditional Value-at-Risk and Spectral Risk Measures for Portfolio Selection - A Comparison with Mean-Variance Analysis

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 29 Posted: 09 Oct 2012
Mario Brandtner
University of Jena
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Abstract:

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Portfolio selection, Spectral risk measures, Conditional Value-at-Risk, Rewardrisk model, Efficient frontier, Optimal portfolio