Tail nonlinearly transformed risk measure and its application
type: Item
instance of: scholarly article
title: Tail nonlinearly transformed risk measure and its application
zbMATH Open document ID: 1282.91298
author: Zhiping Chen
author: Li Yang
author: Daobao Xu
author: Qianhui Hu
published in: OR Spectrum
publication date: 2013-01-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6123948
zbMATH Keywords: risk measure
zbMATH Keywords: ES
zbMATH Keywords: market frictions
zbMATH Keywords: portfolio optimization
zbMATH Keywords: performance ratios
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
full work available at URL: s00291-011-0271-2
OpenAlex ID: W2088609657
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DOI: 10.1007/S00291-011-0271-2
description: scientific article; zbMATH DE number 6123948