On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
D. Madan, M. Pistorius, M. Stadje
| Year of publication: |
October 2017
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| Authors: | Madan, Dilip B. ; Pistorius, M. ; Stadje, M. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 4, p. 1073-1102
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| Subject: | Spectral risk measure | Dynamic risk measure | g-expectation | Choquet expectation | Distortion | (Strong) Time-consistency | Limit theorem | Dynamic portfolio optimisation | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0339-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944476