Tail nonlinearly transformed risk measure and its application
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Publication:1929949
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Cites work
- A new class of coherent risk measures based on p‐norms and their applications
- A strong law for linear functions of order statistics
- Asymptotic distribution of law-invariant risk functionals
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Economic Capital Allocation Derived from Risk Measures
- Generalized deviations in risk analysis
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- Large-Scale Portfolio Optimization
- Progress in risk measurement
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Shortfall as a risk measure: properties, optimization and applications
- The Relationship Between Risk Attitude and Strength of Preference: A Test of Intrinsic Risk Attitude
Cited in
(13)- A convex-risk-measure based model and genetic algorithm for portfolio selection
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Risk Measures and Asset Pricing Models with New Versions of Wang Transform
- Risk measure method expected return under heavy-tail distributions
- A note on the impact of nonlinear reward and risk measures
- scientific article; zbMATH DE number 7366629 (Why is no real title available?)
- An alternative nonparametric tail risk measure
- Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis
- Tail risk measures and portfolio selection
- Nonlinearly transformed risk measures: properties and application to optimal reinsurance
- Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
- Risk assessment and optimal scheduling of serial projects
- Enhancing tail risk measurement: a practical approach to managing model risk of tail risk
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