COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (Q5010072)
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scientific article; zbMATH DE number 7384600
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION |
scientific article; zbMATH DE number 7384600 |
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COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (English)
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24 August 2021
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coherent risk measure
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CVaR
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normal mixture distribution
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generalized hyperbolic distribution
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portfolio optimization
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worst-case risk
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