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
  • [41] Polyhedral coherent risk measures and investment portfolio optimization
    Kirilyuk V.S.
    [J]. Cybernetics and Systems Analysis, 2008, 44 (2) : 250 - 260
  • [42] An empirical comparison of different risk measures in portfolio optimization
    Hoe, Lam Weng
    Hafizah, Jaaman Saiful
    Zaidi, Isa
    [J]. BUSINESS AND ECONOMIC HORIZONS, 2010, 1 (01) : 39 - 45
  • [43] Risk asset portfolio choice models under three risk measures
    Wang Jianhua
    Peng Lihua
    Ke Kaiming
    Wang Yuling
    [J]. PROCEEDINGS OF 2005 INTERNATIONAL CONFERENCE ON INNOVATION & MANAGEMENT, 2005, : 1233 - 1236
  • [44] Risk Asset Portfolio Choice Models Under Three Risk Measures
    Wang, Yuling
    Ma, Junhai
    Xu, Yuhua
    [J]. ADVANCED RESEARCH ON INDUSTRY, INFORMATION SYSTEMS AND MATERIAL ENGINEERING, PTS 1-7, 2011, 204-210 : 537 - +
  • [45] Optimizing Portfolio Risk of Cryptocurrencies Using Data-Driven Risk Measures
    Bowala, Sulalitha
    Singh, Japjeet
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (10)
  • [46] Contagion effect on bond portfolio risk measures in a hybrid credit risk model
    Boudreault, Mathieu
    Gauthier, Genevieve
    Thomassin, Tommy
    [J]. FINANCE RESEARCH LETTERS, 2014, 11 (02) : 131 - 139
  • [47] Control of investment portfolio based on complex quantile risk measures
    E. M. Bronshtein
    M. M. Kachkaeva
    E. V. Tulupova
    [J]. Journal of Computer and Systems Sciences International, 2011, 50 : 174 - 180
  • [48] Portfolio selection based on Extended Gini Shortfall risk measures
    Ben Hssain, Lhoucine
    Berkhouch, Mohammed
    Lakhnati, Ghizlane
    [J]. STATISTICS & RISK MODELING, 2024, 41 (1-2) : 27 - 48
  • [49] Subjective measures of risk aversion, fixed costs, and portfolio choice
    Kapteyn, Arie
    Teppa, Federica
    [J]. JOURNAL OF ECONOMIC PSYCHOLOGY, 2011, 32 (04) : 564 - 580
  • [50] Security portfolio management based on combined entropic risk measures
    E. M. Bronshtein
    O. V. Kondrat’eva
    [J]. Journal of Computer and Systems Sciences International, 2013, 52 : 837 - 841
12345