Coherent and convex risk measures for portfolios with applications

DOI10.1016/j.spl.2014.03.005zbMath1290.91102OpenAlexW2072519903MaRDI QIDQ2453932

Linxiao Wei, Hu, Yijun

Publication date: 11 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.03.005

zbMATH Keywords

product spaceconvex risk measurecoherent risk measuremulti-period risk measurerisk measures for portfolio vectors

Mathematics Subject Classification ID

Portfolio theory (91G10)

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