Coherent and convex loss-based risk measures for portfolio vectors

DOI10.1007/s11117-017-0517-6zbMath1408.91237OpenAlexW2735064423MaRDI QIDQ1746035

Fei Sun, Yan-Hong Chen, Hu, Yijun

Publication date: 19 April 2018

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-017-0517-6

zbMATH Keywords

coherent loss-based risk measuresconvex loss-based risk measuresmulti-period risk measuresrisk measures for portfolio vectors

Mathematics Subject Classification ID

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

Related Items (7)

Set-valued loss-based risk measures ⋮ Multivariate coherent risk measures induced by multivariate convex risk measures ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Acceptability indexes for portfolio vectors ⋮ Regulator-based risk statistics for portfolios ⋮ Systemic risk statistics with scenario analysis

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