Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach

Title:: Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
Document type:: Zeitschriftenaufsatz
Author(s):: Wozabal, David
Non-TUM Co-author(s):: ja
Cooperation:: -
Intellectual Contribution:: Discipline-based Research
Journal title:: Operations Research
Journal listet in FT50 ranking:: Operations Research
Year:: 2014
Journal volume:: 62
Pages contribution:: 1302-1315
Covered by:: Scopus; Web of Science
Fulltext / DOI:: doi:10.1287/opre.2014.1323
Publisher:: Institute for Operations Research and the Management Sciences (INFORMS)
Date of publication:: 01.12.2014
Judgement review:: 0
Key publication:: Ja
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
Commissioned:: not commissioned
Professional Journal:: Nein
Interdisciplinarity:: Nein
Mission statement:: ;
Ethics and Sustainability:: Nein
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