Measures of risk
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Publication:704052
DOI10.1016/J.EJOR.2003.12.016zbMATH Open1066.91061OpenAlexW1988562801MaRDI QIDQ704052FDOQ704052
Authors: Giorgio Szegö 
Publication date: 12 January 2005
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.016
Recommendations
expected shortfallrisk measuresconditional value-at-riskscalar co-dependence measuresspectral risk measures and acceptable risk weights
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- A generalized measure of riskiness
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- Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
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- Firm value and the impact of operational management
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- Design of efficient investment portfolios with a shortfall probability as a measure of risk
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- Manufacturer cooperation in supplier development under risk
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- On the non-existence of conditional value-at-risk under heavy tails and short sales
- Different Kinds of Risk
- The Mathematical Concept of Measuring Risk
- Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
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