Robust return risk measures
Fabio Bellini, Roger J. A. Laeven, Emanuela Rosazza Gianin
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Bellini, Fabio ; Laeven, Roger J. A. ; Rosazza Gianin, Emanuela |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 1, p. 5-32
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| Subject: | Orlicz premium | Shortfall risk | Robustness | Ambiguity averse preferences | Orlicz norms and spaces | Convex risk measures | Positive homogeneity | Theorie | Theory | Risiko | Risk | Messung | Measurement | Risikomaß | Risk measure | Entscheidung unter Risiko | Decision under risk | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-017-0188-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963258