Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component (Q2427811): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.002 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1993258514 / rank | |||
Normal rank |
Revision as of 20:23, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component |
scientific article |
Statements
Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component (English)
0 references
18 April 2012
0 references
riskless component
0 references
translation-invariant and positive-homogeneous risk measure
0 references
value-at-risk
0 references
tail condition expectation
0 references
minimization of root of quadratic functional
0 references
elliptical family
0 references