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ArticleA quantitative comparison of risk measures

Alois Pichler2017

Article2017

A quantitative comparison of risk measures

33 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Decision-Making and Behavioral Economics Probability and Risk Models

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References

2000Optimization of conditional value-at-risk 2009Lectures on Stochastic Programming 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 2001On law invariant coherent risk measures 2005Generalized deviations in risk analysis 2010Analysis of stochastic dual dynamic programming method 2006Coherent multiperiod risk adjusted values and Bellman’s principle

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Year2017

Typearticle

Published2017-01-13

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations33

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10479-017-2397-3

openalex_workW2579539833

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