Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity
type: Item
instance of: scholarly article
title: Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity
zbMATH Open document ID: 1376.91143
author: Mario Brandtner
author: Wolfgang Kürsten
author: Robert Rischau
published in: European Journal of Operational Research
publication date: 2017-11-23T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6812069
zbMATH Keywords: decision analysis
zbMATH Keywords: entropic risk measure
zbMATH Keywords: portfolio selection
zbMATH Keywords: Ross risk aversion
zbMATH Keywords: risk vulnerability
MaRDI profile type: Publication
full work available at URL: j.ejor.2017.07.007
OpenAlex ID: W2735853812
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DOI: 10.1016/J.EJOR.2017.07.007
description: scientific article; zbMATH DE number 6812069