A new class of coherent risk measures based on p-norms and their applications

Applied Stochastic Models in Business and Industry

Volumn 23, Issue 1, 2007, Pages 49-62

  Chen, Zhiping ^a   Wang, Yi ^a  

^a XI'AN JIAOTONG UNIVERSITY   (China)

Author keywords

Coherent risk measure; CVaR; p norms; Portfolio optimization; Risk management

Indexed keywords

MATHEMATICAL MODELS; OPTIMIZATION; PARAMETER ESTIMATION;

COHERENT RISK MEASURES; CVAR; P-NORMS; PORTFOLIO OPTIMIZATION;

RISK MANAGEMENT;

EID: 33847235698     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.636     Document Type: Article

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