Entropy based risk measures
Alois Pichler, Ruben Schlotter
| Year of publication: |
2020
|
|---|---|
| Authors: | Pichler, Alois ; Schlotter, Ruben |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 285.2020, 1 (16.8.), p. 223-236
|
| Subject: | Risk measures | Rearrangement inequalities | Stochastic dominance | Dual representation | Theorie | Theory | Risiko | Risk | Messung | Measurement | Entropie | Entropy | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.01.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012239544