THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
From MaRDI portal
Publication:5493853
DOI10.1142/S0219024905003402zbMath1117.91035MaRDI QIDQ5493853
Stoyan V. Stoyanov, Almira Biglova, Frank J. Fabozzi, Sergio Ortobelli, Svetlozar T. Rachev
Publication date: 16 October 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
risk aversion; skewness; portfolio selection; dispersion measures; fund separation; investors' preference; safety risk measures
60E15: Inequalities; stochastic orderings
Related Items
Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures, Effects of skewness and kurtosis on portfolio rankings, COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES, Sufficient conditions under which SSD- and MR-efficient sets are identical, Multiple criteria decision aiding for finance: an updated bibliographic survey, Robust portfolios: contributions from operations research and finance, Asset allocation strategies based on penalized quantile regression, A decision model based on expected utility, entropy and variance, DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
Cites Work
- Unnamed Item
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
- Mutual fund separation in financial theory - the separating distributions
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
- Coherent Measures of Risk
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Portfolio Selection and Asset Pricing—Three-Parameter Framework
- Linearity properties of a three-moments portfolio model
