Measuring dependence in a set of asset returns

DOI10.1007/S10690-022-09378-4MaRDI QIDQ6054326zbMATH OpenFDO

Authors Dilip B. Madan, K.-H. Wang

Publication date 28 September 2023

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10690-022-09378-4

zbMATH Keywords

acceptable risksbilateral gammadistorted expectations

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Applied conic finance
• Bilateral gamma distributions and processes in financial mathematics
• Coherent measures of risk
• Conic portfolio theory
• Different Kinds of Risk
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• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• Measuring and monitoring the efficiency of markets
• One-parameter families of distortion risk measures
• The Variance Gamma Process and Option Pricing

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