Set-valued shortfall and divergence risk measures
Çağin Ararat, Andreas H. Hamel, Birgit Rudloff
| Year of publication: |
August 2017
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|---|---|
| Authors: | Ararat, Çağin ; Hamel, Andreas ; Rudloff, Birgit |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 5, p. 1-48
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| Subject: | Optimized certainty equivalent | shortfall risk | divergence | relative entropy | entropic risk measure | average value at risk | set-valued risk measure | multivariate risk | incomplete preference | transaction cost | solvency cone | liquidity risk | infimal convolution | Lagrange duality | set optimization | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Messung | Measurement | Portfolio-Management | Portfolio selection | Entropie | Entropy | Risikomanagement | Risk management | Transaktionskosten | Transaction costs |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500261 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011733939