Tail nonlinearly transformed risk measure and its application

DOI10.1007/s00291-011-0271-2zbMath1282.91298OpenAlexW2088609657MaRDI QIDQ1929949

Qianhui Hu, Li Yang, Zhiping Chen, Daobao Xu

Publication date: 10 January 2013

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-011-0271-2

zbMATH Keywords

portfolio optimizationrisk measuremarket frictionsESperformance ratios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

A convex-risk-measure based model and genetic algorithm for portfolio selection ⋮ Nonlinearly transformed risk measures: properties and application to optimal reinsurance ⋮ Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis

Uses Software

• RiskMetrics

Cites Work

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