On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models

Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of exponential dispersion models

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Year of publication:	2010
Authors:	Furman, Olga ; Furman, Edward
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Risiko \| Risk \| Messung \| Measurement \| Nutzenfunktion \| Utility function \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Probability and Statistics, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 28, 2007 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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