Multivariate risk measures : a constructive approach based on selections
Ilya Molchanov, Ignacio Cascos
| Year of publication: |
October 2016
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| Authors: | Molčanov, Il'ja S. ; Cascos, Ignacio |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 4, p. 867-900
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| Subject: | exchange cone | random set | selection | set-valued portfolio | set-valued risk measure | transaction costs | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Messung | Measurement | Risikomaß | Risk measure | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12078 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583808