Aumann-Serrano index of risk in portfolio optimization

DOI10.1007/S00186-021-00753-XzbMath1481.91197OpenAlexW3203012430MaRDI QIDQ2067257

Yanyan Li

Publication date: 18 January 2022

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-021-00753-x

zbMATH Keywords

portfolio optimizationaverage value-at-riskconvex risk measureAumann-Serrano index of riskinessnormal variance-mean mixture

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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• Normal Variance-Mean Mixtures and z Distributions
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Empirical properties of asset returns: stylized facts and statistical issues
• Feller processes of normal inverse Gaussian type
• COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION

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