Risk management under weighted limited expected loss

DOI10.1080/14697688.2024.2352542MaRDI QIDQ6587736zbMATH OpenFDO

Authors An Chen, Thai Vinh Nguyen

Publication date 14 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Risk-constrained dynamic portfolio management
• Risk management with weighted VaR
• Risk management with expected shortfall
• Optimal portfolios under a value-at-risk constraint
• Optimal investment with risk controlled by weighted entropic risk measures

Cites work

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