Higher moment coherent risk measures

DOI10.1080/14697680701458307zbMath1190.91074OpenAlexW2125137443MaRDI QIDQ5423190

Pavlo A. Krokhmal

Publication date: 22 October 2007

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

Full work available at URL: https://doi.org/10.1080/14697680701458307

zbMATH Keywords

stochastic programmingportfolio optimizationstochastic dominanceRisk measures

Mathematics Subject Classification ID

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