SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES

DOI10.1142/S0219024919500043zbMath1411.91634OpenAlexW2911645243WikidataQ128585839 ScholiaQ128585839MaRDI QIDQ5377000

Hu, Yijun, Yan-Hong Chen

Publication date: 21 May 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500043

zbMATH Keywords

convexitycoherencyset-valued risk measuresdistortion risk measureslaw invariantset-valued weighted value at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Acceptability indexes for portfolio vectors

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