Robust return risk measures
Year of publication: |
January 2018
|
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Authors: | Bellini, Fabio ; Laeven, Roger J. A. ; Rosazza Gianin, Emanuela |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 1, p. 5-32
|
Subject: | Orlicz premium | Shortfall risk | Robustness | Ambiguity averse preferences | Orlicz norms and spaces | Convex risk measures | Positive homogeneity | Theorie | Theory | Messung | Measurement | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomaß | Risk measure | Entscheidung unter Risiko | Decision under risk | Robustes Verfahren | Robust statistics | Risikoaversion | Risk aversion |
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