Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Mario Brandtner, Wolfgang Kürsten, Robert Rischau
| Year of publication: |
16 January 2018
|
|---|---|
| Authors: | Brandtner, Mario ; Kürsten, Wolfgang ; Rischau, Robert |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 264.2018, 2 (16.1.), p. 707-716
|
| Subject: | Decision analysis | Entropic risk measure | Portfolio selection | Ross risk aversion | Risk vulnerability | Portfolio-Management | Risiko | Risk | Theorie | Theory | Risikomaß | Risk measure | Risikoaversion | Risk aversion | Messung | Measurement | Entscheidung unter Risiko | Decision under risk | Entropie | Entropy | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.07.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011801916