Risk measures beyond frictionless markets

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Publication:6557369

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DOI10.1137/22m1540090zbMath1544.91279MaRDI QIDQ6557369

Cosimo Munari, Maria Arduca

Publication date: 18 June 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

transaction costs risk measures portfolio constraints acceptance sets

Mathematics Subject Classification ID

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

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