Optimal portfolios with Haezendonck risk measures
Author:
Publisher
Walter de Gruyter GmbH
Link
https://www.degruyter.com/document/doi/10.1524/stnd.2008.0915/pdf
Reference11 articles.
1. Spectral measures of risk: A coherent representation of subjective risk aversion
2. Coherent Measures of Risk
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4. On Haezendonck risk measures
5. AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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