An adaptive procedure for estimating coherent riskmeasures based on generalized scenarios

Lesnevski, V and Nelson, Barry L. and Staum, J. (2008) An adaptive procedure for estimating coherent riskmeasures based on generalized scenarios. Journal of Computational Finance, 11. pp. 1-31. ISSN 1460-1559

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Item Type: Journal Article
Journal or Publication Title: Journal of Computational Finance
Departments: Lancaster University Management School > Management Science
ID Code: 65048
Deposited By: ep_importer_pure
Deposited On: 14 Jun 2013 12:53
Refereed?: Yes
Published?: Published
Last Modified: 11 Dec 2019 03:23
URI: https://eprints.lancs.ac.uk/id/eprint/65048

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