Robust return risk measures
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Publication:1702877
DOI10.1007/s11579-017-0188-xzbMath1404.91134OpenAlexW3121965462MaRDI QIDQ1702877
Roger J. A. Laeven, Fabio Bellini, Emanuela Rosazza Gianin
Publication date: 1 March 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0188-x
robustnessconvex risk measurespositive homogeneityshortfall riskOrlicz premiumambiguity averse preferencesOrlicz norms and spaces
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