On the foundation of performance measures under asymmetric returns
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Publication:4646783
DOI10.1088/1469-7688/2/3/304zbMath1405.91266OpenAlexW1998506499MaRDI QIDQ4646783
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Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/2/3/304
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Cites Work
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- Foundations of Risk Measurement. I. Risk As Probable Loss
- Prospect Theory: An Analysis of Decision under Risk
- Statistical modelling of asymmetric risk in asset returns
- Safety First and the Holding of Assets
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