Security portfolio management based on combined entropic risk measures

DOI10.1134/S1064230713050043zbMath1307.91158OpenAlexW2134593308MaRDI QIDQ2263864

O. V. Kondrat'eva, E. M. Bronshtein

Publication date: 19 March 2015

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230713050043

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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• A Mathematical Theory of Communication
• Control of investment portfolio based on complex quantile risk measures
• Portfolio optimization under entropic risk management
• A measure of risk and a decision-making model based on expected utility and entropy
• Coherent Measures of Risk
• Stochastic finance. An introduction in discrete time

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