Law invariant convex risk measures for portfolio vectors (Q3417652)
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scientific article; zbMATH DE number 5119807
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Law invariant convex risk measures for portfolio vectors |
scientific article; zbMATH DE number 5119807 |
Statements
Law invariant convex risk measures for portfolio vectors (English)
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30 January 2007
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risk measures
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portfolio vector
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distortion
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average value-at-risk
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0.9357178
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0.9273597
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0.9042559
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0.90004665
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0.89903414
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0.8980719
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0.8932977
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0.8881069
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