THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY

DOI10.1142/S0219024905003402zbMath1117.91035OpenAlexW2037997579MaRDI QIDQ5493853

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

Publication date: 16 October 2006

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

Full work available at URL: https://doi.org/10.1142/s0219024905003402

zbMATH Keywords

risk aversionskewnessportfolio selectiondispersion measuresfund separationinvestors' preferencesafety risk measures

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Related Items (10)

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• Coherent Measures of Risk
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• Linearity properties of a three-moments portfolio model

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