Coherent and convex loss-based risk measures for portfolio vectors-Reference-Cited by-同舟云学术

Coherent and convex loss-based risk measures for portfolio vectors

Published:2017-07-17 Issue:1 Volume:22 Page:399-414
ISSN:1385-1292
Container-title:Positivity
language:en
Short-container-title:Positivity

Author:

Chen Yanhong,Sun Fei,Hu Yijun

Funder

National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Theoretical Computer Science,Analysis

Link

http://link.springer.com/article/10.1007/s11117-017-0517-6/fulltext.html

Reference23 articles.

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3. Biagini, S., Frittelli, M.: On continuity properties and dual represenation of convex and monotone functionals on Fréchet lattices, working paper (2006)

4. Burgert, C., Rüschendorf, L.: Consistent risk measures for portfolio vectors. Insur. Math. Econ. 38, 289–297 (2006)

5. Cheridito, P., Li, T.: Risk measures on Orlicz hearts. Math. Finance 19, 189–214 (2009)

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