A risk measure of the stock market that is based on multifractality-Reference-Cited by-同舟云学术

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A risk measure of the stock market that is based on multifractality

Published:2022-06 Issue: Volume:596 Page:127203
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Wang Yi^ORCID,Sun Qi^ORCID,Zhang Zilu^ORCID,Chen Liqing

Funder

Shandong Province Natural Science Foundation

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Statistical and Nonlinear Physics,Statistics and Probability

Reference48 articles.

1. Mean–variance, mean-VaR, and mean-CVaR models for portfolio selection with background risk;Guo;Risk Manag.,2019

2. Mean-CVaR portfolio selection: a nonparametric estimation framework;Yao;Comput. Oper. Res.,2013

3. Optimizing portfolio selection problems under credibilistic CVaR criterion;Liu;J. Intell. Fuzzy Syst.,2018

4. Differential equations connecting VaR and CVaR;Balbas;J. Comput. Appl. Math.,2017

5. Chaos and Order in the Capital Markets;Peters,1991

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Distortion risk measures for tail-risk multicriteria decision-making based on a probabilistic linguistic environment;Journal of Intelligent & Fuzzy Systems;2024-04-18

2. Multifractals and multiscale entropy patterns in energy markets under the effect of the COVID-19 pandemic;Decision Analytics Journal;2023-06

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