DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY

DOI10.1142/S0219024908004713zbMath1153.91557OpenAlexW2139491749MaRDI QIDQ3520392

Stoyan V. Stoyanov, Frank J. Fabozzi, Almira Biglova, Sergio Ortobelli, Svetlozar T. Rachev

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908004713

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites Work

• Isotypic decompositions of lattice determinants
• Expected utility without utility
• Safety-first analysis and stable Paretian approach to portfolio choice theory
• The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
• Generalized deviations in risk analysis
• Coherent Measures of Risk
• THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
• Safety First and the Holding of Assets
• Decision analysis using targets instead of utility functions.
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