The gradient allocation principle based on the higher moment risk measure
Year of publication: |
2022
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Authors: | Gómez, Fabio ; Tang, Qihe ; Tong, Zhiwei |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 143.2022, p. 1-18
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Subject: | Gâteaux derivative | Gradient allocation principle | Higher moment risk measure | Multivariate distributions | Robustness | Stochastic dominance | Theorie | Theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Stochastischer Prozess | Stochastic process |
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