Acceptability indexes for portfolio vectors

DOI10.1155/2019/2196563zbMath1435.91176OpenAlexW2974849969WikidataQ127251945 ScholiaQ127251945MaRDI QIDQ2298184

Yan-Hong Chen, Xianfu Zeng, Hu, Yijun

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/2196563

Mathematics Subject Classification ID

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

Cites Work

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• Mathematical Risk Analysis
• Stochastic Finance
• Law invariant risk measures on L ^∞ (ℝ ^d )
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• Law invariant convex risk measures for portfolio vectors
• COMONOTONIC MEASURES OF MULTIVARIATE RISKS
• SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES

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