Performance ratio-based coherent risk measure and its application

DOI10.1080/14697688.2015.1075059zbMath1468.91134MaRDI QIDQ5001164

Zhiping Chen, Qianhui Hu, Ruiyue Lin

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1075059

zbMATH Keywords

portfolio optimization; transaction costs; acceptance set; performance ratio; coherent risk measure

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G10: Portfolio theory

Related Items

Distributionally robust portfolio optimization with linearized STARR performance measure

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