Two-sided coherent risk measures and their application in realistic portfolio optimization

By Zhiping Chen, Yi Wang. 2008

67 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/da313e6e2cb80f3a85102aec2321e3e6d76da020

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Robert T. Daigler

In Management Science and Operations Research

1. Wei Yue
2. Yuping Wang

Citations in the corpus

• Is international diversification really beneficial (2010, background): “4 VaR has other shortcomings, such as a lacking of sub-additivity (Chen and Wang, 2008).”
• A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios (2017, background): “The low diversity of the portfolio may result in loss while some of the invested assets experience unexpected gains [9,10].”