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An Extended Family of Financial-Risk Measures · Study

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ArticleAn Extended Family of Financial-Risk Measures

Stephen Satchell1998

Article1998

An Extended Family of Financial-Risk Measures

Stephen Satchell

75 citations·0/0 files stored·The Geneva Risk and Insurance Review

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1976The arbitrage theory of capital asset pricing 1970On the measurement of inequality 1973On Economic Inequality 1952Safety First and the Holding of Assets 1987The Dual Theory of Choice under Risk 1969Economics and Information Theory 1990Foundations of Measurement 1982"Expected Utility" Analysis without the Independence Axiom

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2018Omega Performance Measure and Portfolio Insurance 2009Distortion Risk Measures in Portfolio Optimization 2012A decision-theoretic foundation for reward-to-risk performance measures 2005Zur Messung von Risiko

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Year1998

Typearticle

Published1998-12-01

VenueThe Geneva Risk and Insurance Review

ISSN-L1554-964X

Languageen

Citations75

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1023/a:1008665926432

openalex_workW2010498146

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