On coherent risk measures induced by convex risk measures

DOI10.1007/s11009-017-9584-1zbMath1396.91809OpenAlexW2741147126MaRDI QIDQ1657812

Qianhui Hu, Zhiping Chen

Publication date: 14 August 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9584-1

zbMATH Keywords

portfolio selectionconvex risk measurecoherent risk measurerobust representationentropic conditional value-at-risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

Multivariate coherent risk measures induced by multivariate convex risk measures

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