Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Xiang Shi, Young Shin Kim
| Year of publication: |
2021
|
|---|---|
| Authors: | Shi, Xiang ; Kim, Young Shin |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 4, p. 1-18
|
| Subject: | Coherent risk measure | CVaR | generalized hyperbolic distribution | normal mixture distribution | portfolio optimization | worst-case risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500199 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012652709