搜索结果: 1-2 共查到“coherent risk measures”相关记录2条 . 查询时间(0.09 秒)
In this paper we indicate a natural generalization of the notion of the coherent risk measure in some partially ordered normed linear space E, according to the remark that was first made in [9] about ...
Feasibility of Portfolio Optimization under Coherent Risk Measures
Feasibility Portfolio Optimization Coherent Risk Measures
2010/12/17
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for ...