Herdegen, Martin and Khan, Nazem (2022) Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures. Mathematical Finance, 32 (1). pp. 226-272. doi:10.1111/mafi.12333 ISSN 0960-1627.

Preview	PDF WRAP-Mean-ρ-portfolio-selection-ρ-arbitrage-coherent-risk-measures-Herdegen-2021.pdf - Published Version - Requires a PDF viewer. Available under License Creative Commons Attribution 4.0. Download (615Kb) | Preview
	PDF WRAP-Mean-ρ-portfolio-selection-ρ-arbitrage-coherent-risk-measures-Herdegen-2021.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only - Requires a PDF viewer. Download (1361Kb)

Request Changes to record.

Abstract

Item Type:	Journal Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance
Divisions:	Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH):	Financial futures, Financial risk management, Risk management -- Statistical methods, Portfolio management -- Mathematical models
Journal or Publication Title:	Mathematical Finance
Publisher:	Wiley-Blackwell Publishing, Inc.
ISSN:	0960-1627
Official Date:	January 2022
Dates:	Date Event January 2022 Published 9 August 2021 Available 12 August 2021 Accepted
Volume:	32
Number:	1
Page Range:	pp. 226-272
DOI:	10.1111/mafi.12333
Status:	Peer Reviewed
Publication Status:	Published
Reuse Statement (publisher, data, author rights):	This is the peer reviewed version of the following article: [FULL CITE], which has been published in final form at [Link to final article using the DOI]. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Access rights to Published version:	Open Access (Creative Commons)
Date of first compliant deposit:	21 July 2021
Date of first compliant Open Access:	27 August 2021
Related URLs:	Publisher

Request changes or add full text files to a record

Repository staff actions (login required)

View Item

Downloads