Control of investment portfolio based on complex quantile risk measures
type: Item
instance of: scholarly article
title: Control of investment portfolio based on complex quantile risk measures
zbMATH Open document ID: 1270.91083
DOI: 10.1134/S1064230711010084
author: Efim M. Bronshteĭn
author: M. M. Kachkaeva
author: E. V. Tulupova
published in: Journal of Computer and Systems Sciences International
publication date: 2013-07-29T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6192309
zbMATH Keywords: value at risk
zbMATH Keywords: conditional value at risk
zbMATH Keywords: profitability distribution functions
zbMATH Keywords: optimization procedure
MaRDI profile type: Publication
cites work: DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
cites work: Coherent measures of risk
cites work: Risk Measures and Comonotonicity: A Review
cites work: Risk preference modeling with conditional average: An application to portfolio optimization
cites work: Handbook of Portfolio Construction
description: scientific article; zbMATH DE number 6192309