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Risk concentration and the mean-expected shortfall criterion - MaRDI portal

Risk concentration and the mean-expected shortfall criterion

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Publication:6641074

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DOI10.1111/mafi.12417MaRDI QIDQ6641074

Ruodu Wang, Xia Han, Bin Wang, Qinyu Wu

Publication date: 20 November 2024

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

zbMATH Keywords

risk measures portfolio selection dependence tail event concentration aversion

Mathematics Subject Classification ID

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

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