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

DOI10.1080/14697680600580912zbMATH Open1136.91472OpenAlexW2074254315MaRDI QIDQ5484639FDOQ5484639

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Cites Work

• Coherent measures of risk

Cited In (1)

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

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