Risk tomography

DOI10.1016/J.EJOR.2017.07.055MaRDI QIDQ1681334zbMATH OpenOpenAlexFDO

Authors Jinwook Lee, András Prékopa

Publication date 23 November 2017

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2017.07.055

zbMATH Keywords

convexityvalue-at-riskconditional value-at-riskmultivariate risk measures\(p\)-efficient points

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cited in

(5)

• Vector-valued multivariate conditional value-at-risk
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• scientific article; zbMATH DE number 1882999 (Why is no real title available?)
• The Iterated Cte
• Two Types of Risk

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