Risk concentration and the mean-expected shortfall criterion
Xia Han, Bin Wang, Ruodu Wang, Qinyu Wu
| Year of publication: |
2024
|
|---|---|
| Authors: | Han, Xia ; Wang, Bin ; Wang, Ruodu ; Wu, Qinyu |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 34.2024, 3, p. 819-846
|
| Subject: | concentration aversion | dependence | portfolio selection | risk measures | tail event | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Unternehmenskonzentration | Market concentration | Statistische Verteilung | Statistical distribution | Messung | Measurement | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12417 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014565286