Tail Risk Measures and Portfolio Selection

DOI10.1007/978-3-030-49728-6_7zbMath1476.91151OpenAlexW3047598704MaRDI QIDQ5015921

Sung Y. Park, Young C. Joo

Publication date: 10 December 2021

Published in: Studies in Computational Intelligence (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-49728-6_7

Mathematics Subject Classification ID

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

Cites Work

• Axiomatic characterization of insurance prices
• Coherent Measures of Risk
• Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Regression Quantiles
• The Dual Theory of Choice under Risk
• Optimization of Convex Risk Functions
• Stochastic finance. An introduction in discrete time

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