MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS

DOI10.1111/mafi.12078zbMath1368.91183arXiv1301.1496OpenAlexW2158054781MaRDI QIDQ2831005

Ignacio Cascos, Ilya S. Molchanov

Publication date: 1 November 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.1496

zbMATH Keywords

random vectorcoherent risk measurerandom setset-valued risk measureset-valued portfolio

Mathematics Subject Classification ID

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

Related Items (31)

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Uses Software

• QRM
• BENSOLVE

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