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Higher moment coherent risk measures - MaRDI portal

Higher moment coherent risk measures (Q5423190)

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scientific article; zbMATH DE number 5203403
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English
Higher moment coherent risk measures
scientific article; zbMATH DE number 5203403

    Statements

    title
    Higher moment coherent risk measures (English)
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    publication date
    22 October 2007
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    zbMATH Keywords
    Risk measures
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    stochastic programming
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    stochastic dominance
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    portfolio optimization
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    author
    Pavlo A. Krokhmal
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    cites work
    Q5615833
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    60E15
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    90C15
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    91G10
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    zbMATH DE Number
    5203403
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    OpenAlex ID
    W2125137443
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