On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization
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Publication:6573817
DOI10.1016/J.INSMATHECO.2024.04.002zbMATH Open1545.91332MaRDI QIDQ6573817
An Chen, Mitja Stadje, Fangyuan Zhang
Publication date: 17 July 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)
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