The generalized value at risk admissible set: constraint consistency and portfolio outcomes

DOI10.1080/14697680600580912zbMath1136.91472OpenAlexW2074254315MaRDI QIDQ5484639

Roger J. Bowden

Publication date: 21 August 2006

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

Full work available at URL: https://doi.org/10.1080/14697680600580912

zbMATH Keywords

hedgingadmissible setportfolio choicevalue at riskconditional value at riskhazard functionscensored meaneffective utility functionsgeneralized value at risk

Mathematics Subject Classification ID

Related Items (1)

Directional entropy and tail uncertainty, with applications to financial hazard

Cites Work

• Coherent Measures of Risk

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