Coherent and convex loss-based risk measures for portfolio vectors
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DOI: 10.1007/s11117-017-0517-6
Abstract: In this paper, we introduce two new classes of risk measures, named coherent and convex loss-based risk measures for portfolio vectors. These new risk measures can be considered as a multivariate extension of univariate loss-based… read more here.
Keywords: loss based; risk; based risk; risk measures ... See more keywords