Acceptability indexes for portfolio vectors
From MaRDI portal
Publication:2298184
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
Cites Work
- Set-valued average value at risk and its computation
- Acceptability indexes via \(g\)-expectations: an application to liquidity risk
- Dynamic quasi concave performance measures
- Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
- A duality theory for set-valued functions. I: Fenchel conjugation theory
- Coherent and convex loss-based risk measures for portfolio vectors
- Vector-valued coherent risk measures
- Set-valued risk measures for conical market models
- Measuring risk with multiple eligible assets
- Coherent and convex risk measures for portfolios with applications
- Consistent risk measures for portfolio vectors
- Dynamic assessment indices
- MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
- DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE
- Mathematical Risk Analysis
- Stochastic Finance
- Law invariant risk measures on L ∞ (ℝ d )
- Duality for Set-Valued Measures of Risk
- Law invariant convex risk measures for portfolio vectors
- COMONOTONIC MEASURES OF MULTIVARIATE RISKS
- SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES
This page was built for publication: Acceptability indexes for portfolio vectors
