Two-sided coherent risk measures and their application in realistic portfolio optimization-Reference-Cited by-同舟云学术

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Two-sided coherent risk measures and their application in realistic portfolio optimization

Published:2008-12 Issue:12 Volume:32 Page:2667-2673
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Chen Zhiping,Wang Yi

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. On the coherence of expected shortfall;Acerbi;Journal of Banking and Finance,2002

2. Spectral measures of risk: A coherent representation of subjective risk aversion;Acerbi;Journal of Banking and Finance,2002

3. Spectral risk measures and portfolio selection;Adam;Journal of Banking and Finance,2008

4. Thinking coherently;Artzner;Risk,1997

5. Coherent measures of risk;Artzner;Mathematical Finance,1999

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1. An adaptive evolutionary strategy for long–short portfolio construction;Decisions in Economics and Finance;2024-07-15

2. Adaptive evolutionary algorithms for portfolio selection problems;Computational Management Science;2023-02-15

3. A mental account-based portfolio selection model with an application for data with smaller dimensions;Computers & Operations Research;2022-08

4. Zeroth-Order Stochastic Compositional Algorithms for Risk-Aware Learning;SIAM Journal on Optimization;2022-04-05

5. Portfolio optimization with optimal expected utility risk measures;Annals of Operations Research;2021-11-22

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