Browsing by Subject "VaR"
Now showing items 1-3 of 3
(2012-12-11)Safety first criterion and mean-shortfall criterion both explore cases of assets allocation with downside risk. In this paper, I compare safety first portfolio selection problem and mean-shortfall portfolio optimization ...
(Texas A&M University, 2006-10-30)An increasing emphasis on chemical process safety over the last two decades has led to the development and application of powerful risk assessment tools. Hazard analysis and risk evaluation techniques have developed to the ...