Worst case portfolio vectors and diversification effects

DOI10.1007/S00780-010-0150-8zbMath1262.91155OpenAlexW2087540931MaRDI QIDQ1761436

Ludger Rüschendorf

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0150-8

zbMATH Keywords

diversificationrisk boundsdependent riskscomonotone vectors

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Worst portfolios for dynamic monetary utility processes ⋮ Best-case scenario robust portfolio: evidence from China stock market ⋮ Measuring linear correlation between random vectors ⋮ Multivariate tail dependence and local stochastic dominance ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ Multivariate extensions of expectiles risk measures ⋮ An algorithm to approximate the optimal expected inner product of two vectors with given marginals ⋮ Four theorems and a financial crisis

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