Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/102645 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Discussion Papers in Econometrics and Statistics No. 01/14
Verlag: 
University of Cologne, Institute of Econometrics and Statistics, Cologne
Zusammenfassung: 
We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the measure to the portfolio selection problem, employing different measures of performance as objective functions in a common geometrical framework.
Schlagwörter: 
Multivariate risk measure
robust portfolio optimization
weighted-mean trimmed regions
data central regions
convex risk measure
distortion risk measure
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
781.21 kB





Publikationen in EconStor sind urheberrechtlich geschützt.