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On the feasibility of portfolio optimization under expected shortfall 

Authors: Stefano Ciliberti ^a;  Imre Kondor ^b; Marc Mzard ^a

Affiliations:	a CNRS, Orsay Cedex F-91405, France
	b Collegium Budapest, 1014 Budapest, Hungary

DOI: 10.1080/14697680701422089

Publication Frequency: 8 issues per year

Published in: Quantitative Finance, Volume 7, Issue 4 August 2007 , pages 389 - 396

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: HTML (English) : PDF (English)

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