A new class of coherent risk measures based on <i>p</i>‐norms and their applications (Q5430335): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 02:57, 9 February 2024
scientific article; zbMATH DE number 5220034
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new class of coherent risk measures based on <i>p</i>‐norms and their applications |
scientific article; zbMATH DE number 5220034 |
Statements
A new class of coherent risk measures based on <i>p</i>‐norms and their applications (English)
0 references
16 December 2007
0 references
risk management
0 references
coherent risk measures
0 references
\(p\)-norm
0 references
CVaR
0 references
portfolio optimization
0 references
