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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management
Z. Landsman
,
U. Makov
Department of Statistics
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Keyphrases
At-risk
100%
Translation Invariant
100%
Risk Measures
100%
Tail Conditional Expectation
100%
Optimal Portfolio
100%
Portfolio Management
100%
Minimization Problem
50%
Square Root
50%
Quadratic Functional
50%
Underlying Distribution
50%
Portfolio Optimization
50%
Linear Functional
50%
NASDAQ
50%
Risk Portfolio
50%
Mathematics
Conditional Expectation
100%
Risk Measure
100%
Value at Risk
100%
Portfolio Management
100%
Minimization Problem
50%
Square Root
50%
Closed Form Solution
50%
Underlying Distribution
50%
Linear Functionals
50%
Solution Exists
50%
Engineering
Portfolio Management
100%
Conditional Expectation
100%
Minimization Problem
50%
Closed Form Solution
50%
Square Root
50%
Economics, Econometrics and Finance
Portfolio Selection
100%
Conditional Tail Expectation
100%