Aumann-Serrano index of risk in portfolio optimization
Tiantian Li, Young Shin Kim, Qi Fan, Fumin Zhu
| Year of publication: |
2021
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|---|---|
| Authors: | Li, Tiantian ; Kim, Young Shin ; Fan, Qi ; Zhu, Fumin |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 94.2021, 2, p. 197-217
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| Subject: | Aumann-Serrano index of riskiness | Portfolio optimization | Normal variance-mean mixture | Convex risk measure | Average value-at-risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Index | Index number | Messung | Measurement | Entscheidung unter Risiko | Decision under risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-021-00753-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793510