This paper was partly written when AJM was visiting researcher at GSB Stanford University and Wharton School. Support from the Tinbergen Institute and KLM Royal Dutch Airlines is gratefully acknowledged. We would like to thank our colleagues at the KLM Royal Dutch Airlines, the Tinbergen Institute Rotterdam, the referee (Giovanni Barone-Adesi), Ton Vorst, Simon Benninga, and participants at the EFA, EFMA and QMF conferences for their helpful comments and suggestions. We acknowledge the support of Leading Market Technologies technical desk in creating the software tools. Correspondence: Albert J. Menkveld.
Analysing Perceived Downside Risk: the Component Value-at-Risk Framework
Article first published online: 12 NOV 2004
European Financial Management
Volume 10, Issue 4, pages 567–591, December 2004
How to Cite
Hallerbach, W. G. and Menkveld, A. J. (2004), Analysing Perceived Downside Risk: the Component Value-at-Risk Framework. European Financial Management, 10: 567–591. doi: 10.1111/j.1354-7798.2004.00266.x
- Issue published online: 12 NOV 2004
- Article first published online: 12 NOV 2004
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