The generalized value at risk admissible set: constraint consistency and portfolio outcomes

DOI10.1080/14697680600580912MaRDI QIDQ5484639zbMATH OpenOpenAlexFDO

Authors Roger J. Bowden

Publication date 21 August 2006

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680600580912

zbMATH Keywords

value at riskportfolio choicehedgingconditional value at riskadmissible sethazard functionscensored meaneffective utility functionsgeneralized value at risk

Mathematics Subject Classification ID

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Cites work

• Coherent measures of risk

Cited in

(1)

• Directional entropy and tail uncertainty, with applications to financial hazard

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