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  • Search: subject:"Conditional acceptability index"
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Conditional acceptability index 2 Conditional performance measure 2 Dynamic performance measure 2 Induced family of risk measures 2 Risk to reward ratio 2 Time consistency 2 Betriebliche Kennzahl 1 Capital income 1 Financial ratio 1 Kapitaleinkommen 1 Measurement 1 Messung 1 Performance measurement 1 Performance-Messung 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Theorie 1 Theory 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Biagini, Sara 2 Bion-Nadal, Jocelyne 2
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Journal of Mathematical Economics 1 Journal of mathematical economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Dynamic quasi concave performance measures
Biagini, Sara; Bion-Nadal, Jocelyne - In: Journal of Mathematical Economics 55 (2014) C, pp. 143-153
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and certainty equivalent to conditional acceptability indexes. We...
Persistent link: https://www.econbiz.de/10011118016
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Cover Image
Dynamic quasi concave performance measures
Biagini, Sara; Bion-Nadal, Jocelyne - In: Journal of mathematical economics 55 (2014), pp. 143-153
Persistent link: https://www.econbiz.de/10011297774
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