Set-valued law invariant coherent and convex risk measures
Year of publication: |
2019
|
---|---|
Authors: | Chen, Yanhong ; Hu, Yijun |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 3, p. 1-18
|
Subject: | Set-valued risk measures | law invariant | distortion risk measures | set-valued weighted value at risk | coherency | convexity | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Portfolio-Management | Portfolio selection |
-
Similar risks have similar prices : a useful and exact quantification
Mildenhall, Stephen J., (2022)
-
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas, (2014)
-
Measuring risk with multiple eligible assets
Farkas, Walter, (2015)
- More ...
-
Set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong, (2020)
-
Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong, (2018)
-
Can leader “humility” spark employee “proactivity”? The mediating role of psychological empowerment
Chen, Yanhong, (2018)
- More ...