Portfolio Risk Measures: The Time’s Arrow Matters
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DOI: 10.1007/s10614-012-9336-9
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- Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi, 2009. "Orderings and Probability Functionals Consistent with Preferences," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 81-102.
- Svetlozar Rachev & Sergio Ortobelli & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova, 2008. "Desirable Properties Of An Ideal Risk Measure In Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 19-54.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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Cited by:
- Hyungbin Park, 2021. "Modified Mean-Variance Risk Measures for Long-Term Portfolios," Mathematics, MDPI, vol. 9(2), pages 1-23, January.
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Keywords
Market risk measure; Variability; Volatility;All these keywords.
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