Convex risk measures based on generalized lower deviation and their applications
Year of publication: |
July 2017
|
---|---|
Authors: | Fu, Tianwen ; Zhuang, Xinkai ; Hui, Yongchang ; Liu, Jia |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 52.2017, p. 27-37
|
Subject: | Deviation risk measure | Generalized convex risk measure | Market frictions | Portfolio optimization | Performance ratio | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk |
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