Acceptability Indexes for Portfolio Vectors
Joint Authors
Zeng, Xianfu
Chen, Yanhong
Hu, Yijun
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-09-18
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
In this paper, we introduce two new classes of acceptability indexes, named quasi-concave acceptability indexes and coherent acceptability indexes, for portfolio vectors.
We establish the one-to-one correspondence between quasi-concave (coherent, resp.) acceptability indexes and convex (coherent, resp.) risk measures for portfolio vectors.
We derive the representation results for coherent and convex risk measures.
Finally, based on these results, we derive the representation results for quasi-concave acceptability indexes and coherent acceptability indexes for portfolio vectors.
These new acceptability indexes can be considered as a kind of multivariate extension of univariate coherent and quasi-concave acceptability indexes introduced by Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013), respectively.
American Psychological Association (APA)
Zeng, Xianfu& Chen, Yanhong& Hu, Yijun. 2019. Acceptability Indexes for Portfolio Vectors. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1194693
Modern Language Association (MLA)
Zeng, Xianfu…[et al.]. Acceptability Indexes for Portfolio Vectors. Mathematical Problems in Engineering No. 2019 (2019), pp.1-9.
https://search.emarefa.net/detail/BIM-1194693
American Medical Association (AMA)
Zeng, Xianfu& Chen, Yanhong& Hu, Yijun. Acceptability Indexes for Portfolio Vectors. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1194693
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1194693