The generalized value at risk admissible set: constraint consistency and portfolio outcomes (Q5484639)
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scientific article; zbMATH DE number 5047890
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| English | The generalized value at risk admissible set: constraint consistency and portfolio outcomes |
scientific article; zbMATH DE number 5047890 |
Statements
The generalized value at risk admissible set: constraint consistency and portfolio outcomes (English)
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21 August 2006
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admissible set
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censored mean
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conditional value at risk
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effective utility functions
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generalized value at risk
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hazard functions
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hedging
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portfolio choice
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value at risk
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0.7807965278625488
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0.7764844298362732
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0.7675204277038574
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0.7601694464683533
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