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Title: Risk measures : in search of the Holy Grail.
Authors: Brynjar Bustnes.
Koong, Chee Seng.
Lee, Ho Sung.
Keywords: DRNTU::Business::Operations management::Risk management
Issue Date: 2003
Abstract: In this dissertation, we review the development of risk measures in finance, starting from the traditional risk measures to the more recent downside risk measures. We outline the desirable properties that one should expect form a risk measure. There are several frameworks developed for this and we pay special attention to works of Pedersen and Satchell (1998).
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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