Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component (Q2427811)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component |
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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component (English)
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18 April 2012
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riskless component
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translation-invariant and positive-homogeneous risk measure
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value-at-risk
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tail condition expectation
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minimization of root of quadratic functional
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elliptical family
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