Risk management with weighted VaR-Reference-Cited by-同舟云学术

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Risk management with weighted VaR

Published:2017-08-29 Issue:4 Volume:28 Page:1020-1060
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Wei Pengyu¹

Affiliation:

1. Mathematical Institute and Oxford-Man Institute of Quantitative Finance; The University of Oxford; Oxford UK

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12160/fullpdf

Reference76 articles.

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

2. On the coherence of expected shortfall;Acerbi;Journal of Banking & Finance,2002

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

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1. Risk-adjusted exponential gradient strategies for online portfolio selection;Journal of Combinatorial Optimization;2024-07-28

2. Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time;Mathematics;2024-07-20

3. Tail mean-variance portfolio selection with estimation risk;Insurance: Mathematics and Economics;2024-05

4. Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures;SIAM Journal on Financial Mathematics;2024-02-27

5. Pareto Efficiency and Financial Fairness Under Limited Expected Loss Constraint;2024

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