The generalized value at risk admissible set: constraint consistency and portfolio outcomes (Q5484639)
From MaRDI portal
scientific article; zbMATH DE number 5047890
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The generalized value at risk admissible set: constraint consistency and portfolio outcomes |
scientific article; zbMATH DE number 5047890 |
Statements
The generalized value at risk admissible set: constraint consistency and portfolio outcomes (English)
0 references
21 August 2006
0 references
admissible set
0 references
censored mean
0 references
conditional value at risk
0 references
effective utility functions
0 references
generalized value at risk
0 references
hazard functions
0 references
hedging
0 references
portfolio choice
0 references
value at risk
0 references
