Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component (Q2427811): Difference between revisions

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Revision as of 20:23, 19 March 2024

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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
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    Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component (English)
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    18 April 2012
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    riskless component
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    translation-invariant and positive-homogeneous risk measure
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    value-at-risk
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    tail condition expectation
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    minimization of root of quadratic functional
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    elliptical family
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