Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis-Reference-Cited by-同舟云学术

Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis

Published:2021-02-02 Issue:6 Volume:21 Page:1011-1025
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bergk Kerstin¹,Brandtner Mario²,Kürsten Wolfgang¹

Affiliation:

1. Faculty of Economics and Business Administration, Professorship of Finance, Banking, and Risk Management, Friedrich Schiller University Jena, Jena, Germany

2. Department of Business Administration, University of Applied Sciences Jena, Jena, Germany

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1856912

Reference51 articles.

1. Spectral measures of risk: A coherent representation of subjective risk aversion

2. Acerbi, C. and Simonetti, P., Portfolio optimization with spectral measures of risk. Preprint, 2002.

3. On the coherence of expected shortfall

4. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis

5. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

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