A new class of coherent risk measures based on <i>p</i>‐norms and their applications (Q5430335)
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scientific article; zbMATH DE number 5220034
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new class of coherent risk measures based on <i>p</i>‐norms and their applications |
scientific article; zbMATH DE number 5220034 |
Statements
A new class of coherent risk measures based on <i>p</i>‐norms and their applications (English)
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16 December 2007
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risk management
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coherent risk measures
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\(p\)-norm
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CVaR
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portfolio optimization
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