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scientific article; zbMATH DE number 5793162 - MaRDI portal

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zbMath1198.91086MaRDI QIDQ4930407

Yafang Zhang, Xiaolin Deng, Peibiao Zhao

Publication date: 29 September 2010

Full work available at URL: http://www.m-hikari.com/ijma/ijma-password-2009/ijma-password33-36-2009/index.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

coherent risk measures efficient frontier spectral risk measures ES portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis ⋮ Consistent modeling of risk averse behavior with spectral risk measures

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