Acceptability indexes for portfolio vectors

DOI10.1155/2019/2196563MaRDI QIDQ2298184zbMATH OpenOpenAlexWikidataFDO

Authors Xianfu Zeng, Yanhong Chen, Yijun Hu

Publication date 20 February 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/2196563

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• Coherent and convex risk measures for portfolios with applications
• Coherent and convex loss-based risk measures for portfolio vectors
• Dynamic coherent acceptability indices and their applications to finance
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• Multivariate risk measures: a constructive approach based on selections

Cites work

• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Acceptability indexes via \(g\)-expectations: an application to liquidity risk
• Coherent and convex loss-based risk measures for portfolio vectors
• Coherent and convex risk measures for portfolios with applications
• Comonotonic measures of multivariate risks
• Consistent risk measures for portfolio vectors
• Duality for set-valued measures of risk
• Dynamic assessment indices
• Dynamic coherent acceptability indices and their applications to finance
• Dynamic quasi concave performance measures
• Law invariant convex risk measures for portfolio vectors
• Law invariant risk measures on L^( R^d)
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Measuring risk with multiple eligible assets
• Multivariate risk measures: a constructive approach based on selections
• Representations of set-valued risk measures defined on the l-tensor product of Banach lattices
• Set-valued average value at risk and its computation
• Set-valued law invariant coherent and convex risk measures
• Set-valued risk measures for conical market models
• Stochastic finance. An introduction in discrete time.
• Vector-valued coherent risk measures

Cited in

(4)

• Dynamic coherent acceptability indices and their applications to finance
• Maximally acceptable portfolios
• Short communication: utility-based acceptability indices
• Star-shaped acceptability indexes

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