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Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures
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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.
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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) |
Official URL: http://dx.doi.org/10.1111/mafi.12333
Abstract
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance |
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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: |
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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 | ||||||||
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