Cash subadditive risk measures for portfolio vectors

DOI10.1016/S0252-9602(17)30137-6zbMath1399.91096OpenAlexW2772957911MaRDI QIDQ1637026

Hong-wei Liu, Linxiao Wei, Hu, Yijun

Publication date: 7 June 2018

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(17)30137-6

zbMATH Keywords

risk measuresconvex analysiscash subadditivityportfolio vectors

Mathematics Subject Classification ID

Portfolio theory (91G10)

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