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Mixed value-at-risk and its numerical investigation - MaRDI portal

Mixed value-at-risk and its numerical investigation (Q2137621)

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Mixed value-at-risk and its numerical investigation
scientific article

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    title
    Mixed value-at-risk and its numerical investigation (English)
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    author
    Anubha Goel
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    Amita Sharma
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    published in
    Physica A
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    publication date
    16 May 2022
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    zbMATH DE Number
    7527056
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    zbMATH Keywords
    value-at-risk
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    mixed value-at-risk
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    mixed conditional value-at-risk
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    deviation risk measure
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    portfolio selection
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    OpenAlex ID
    W2995948328
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