An axiomatic foundation for the expected shortfall
Ruodu Wang, Ričardas Zitikis
| Year of publication: |
2021
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|---|---|
| Authors: | Wang, Ruodu ; Zitikis, Ričardas |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 3, p. 1413-1429
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| Subject: | risk measure | expected shortfall | risk concentration | diversification | risk aggregation | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Theorie | Theory | Risiko | Risk | Erwartungsbildung | Expectation formation | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3617 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012505987