Risk concentration and the mean-expected shortfall criterion
Year of publication: |
2024
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Authors: | Han, Xia ; Wang, Bin ; Wang, Ruodu ; Wu, Qinyu |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 34.2024, 3, p. 819-846
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Subject: | concentration aversion | dependence | portfolio selection | risk measures | tail event | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Unternehmenskonzentration | Market concentration | Statistische Verteilung | Statistical distribution | Messung | Measurement |
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