The gradient allocation principle based on the higher moment risk measure
Fabio Gómez, Qihe Tang, Zhiwei Tong
| Year of publication: |
2022
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|---|---|
| Authors: | Gómez, Fabio ; Tang, Qihe ; Tong, Zhiwei |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 143.2022, p. 1-18
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| Subject: | Gâteaux derivative | Gradient allocation principle | Higher moment risk measure | Multivariate distributions | Robustness | Stochastic dominance | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Risiko | Risk | Derivat | Derivative | Messung | Measurement | Stochastischer Prozess | Stochastic process | Allokation | Allocation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106544 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013530990