Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio (Q2263343): Difference between revisions
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Revision as of 06:31, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio |
scientific article |
Statements
Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio (English)
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18 March 2015
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polyhedral coherent risk measure
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conditional VaR
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spectral risk measure
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portfolio optimization
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reward-risk ratio
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efficiency measure
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