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Performance ratio-based coherent risk measure and its application - MaRDI portal

Performance ratio-based coherent risk measure and its application (Q5001164)

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scientific article; zbMATH DE number 7372427
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English
Performance ratio-based coherent risk measure and its application
scientific article; zbMATH DE number 7372427

    Statements

    title
    Performance ratio-based coherent risk measure and its application (English)
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    author
    Zhiping Chen
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    Qianhui Hu
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    Ruiyue Lin
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    publication date
    16 July 2021
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    zbMATH Keywords
    acceptance set
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    coherent risk measure
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    performance ratio
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    portfolio optimization
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    transaction costs
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    Identifiers

    zbMATH DE Number
    7372427
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    OpenAlex ID
    W2291382242
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