A PORTFOLIO OF RISK MEASURES

被引：56
|
作者：
MACCRIMMON, KR
WEHRUNG, DA
机构：
来源：
THEORY AND DECISION | 1985年 / 19卷 / 01期
关键词：
D O I：
10.1007/BF00134352
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
引用
收藏
页码：1 / 29
页数：29
相关论文
共 50 条
  • [31] Law invariant convex risk measures for portfolio vectors
    Rueschendorf, Ludger
    [J]. STATISTICS & RISK MODELING, 2006, 24 (01) : 97 - 108
  • [32] Properties of Risk Measures of Generalized Entropy in Portfolio Selection
    Zhou, Rongxi
    Liu, Xiao
    Id, Mei Yu
    Huang, Kyle
    [J]. ENTROPY, 2017, 19 (12)
  • [33] Portfolio optimization with optimal expected utility risk measures
    Geissel, S.
    Graf, H.
    Herbinger, J.
    Seifried, F. T.
    [J]. ANNALS OF OPERATIONS RESEARCH, 2022, 309 (01) : 59 - 77
  • [34] Portfolio optimization under lower partial risk measures
    Konno H.
    Waki H.
    Yuuki A.
    [J]. Asia-Pacific Financial Markets, 2002, 9 (2) : 127 - 140
  • [35] A comparison of risk measures for portfolio optimization with cardinality constraints
    Ramos, Henrique Pinto
    Righi, Marcelo Brutti
    Guedes, Pablo Cristini
    Muller, Fernanda Maria
    [J]. EXPERT SYSTEMS WITH APPLICATIONS, 2023, 228
  • [36] Portfolio Risk Measures: The Time’s Arrow Matters
    Alain Ruttiens
    [J]. Computational Economics, 2013, 41 : 407 - 424
  • [37] Portfolio Risk Measures: The Time's Arrow Matters
    Ruttiens, Alain
    [J]. COMPUTATIONAL ECONOMICS, 2013, 41 (03) : 407 - 424
  • [38] Risk Measures and Portfolio Construction in Different Economic Scenarios
    Jaaman, Saiful Hafizah
    Lam, Weng Hoe
    Isa, Zaidi
    [J]. SAINS MALAYSIANA, 2013, 42 (06): : 875 - 880
  • [39] Convex risk measures for portfolio optimization and concepts of flexibility
    Lüthi, HJ
    Doege, J
    [J]. MATHEMATICAL PROGRAMMING, 2005, 104 (2-3) : 541 - 559
  • [40] On efficient portfolio selection using convex risk measures
    Christos E. Kountzakis
    [J]. Mathematics and Financial Economics, 2011, 4 : 223 - 252
12345