Non-Cash Risk Measure on Nonconvex Sets
Monetary risk measures defined on a convex set are interpreted as the smallest amount of external cash that must be added to a portfolio to make the portfolio being acceptable. In the present paper, the authors introduce a new concept: non-cash risk measure, which does as a nonconvex risk measure wo...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-10-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7390/6/10/186 |