Coherent risk measures alone are ineffective in constraining portfolio losses
John Armstrong, Damiano Brigo
| Year of publication: |
2022
|
|---|---|
| Authors: | Armstrong, John ; Brigo, Damiano |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 140.2022, p. 1-8
|
| Subject: | -Arbitrage | Classic utility risk limit | Coherent risk measures | Incomplete markets | Ineffective risk measures | Limited liability | Markowitz model | Positive homogeneity | S-shaped utility | Tail-risk seeking behaviour | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Unvollkommener Markt | Incomplete market | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106315 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463123