scientific article; zbMATH DE number 5051698

MaRDI QIDQ5486100zbMATH OpenFDO

Authors Yongli Zhang, Svetlozar T. Rachev

Publication date 6 September 2006

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

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• Risk contributions of lambda quantiles
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• Some refinements on fixed income performance attribution
• An efficient method of evaluating portfolio risk and return
• Stochastic models for risk estimation in volatile markets: a survey
• The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement
• Risk contributions: duality and sensitivity
• Risk measurement in the presence of background risk
• A multiple objective stochastic portfolio selection problem with random beta

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