Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity

DOI10.1016/j.ejor.2017.07.007zbMath1376.91143OpenAlexW2735853812MaRDI QIDQ1681531

Robert Rischau, Wolfgang Kürsten, Mario Brandtner

Publication date: 23 November 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.07.007

zbMATH Keywords

decision analysisportfolio selectionrisk vulnerabilityentropic risk measureRoss risk aversion

Mathematics Subject Classification ID

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

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