کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077658 1374142 2006 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Consistent risk measures for portfolio vectors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Consistent risk measures for portfolio vectors
چکیده انگلیسی
Thus, an important property of risk measures for portfolio vectors is consistency with respect to various classes of convex and dependence orderings. From this perspective, we introduce and study convex risk measures for portfolio vectors defined axiomatically and further introduce two natural and easy to interprete and calculate classes of examples of risk measures for portfolio vectors and investigate their consistency properties.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 2, 7 April 2006, Pages 289-297
نویسندگان
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