Monotone Mean Lp-Deviation Risk Measures
نویسندگان
چکیده
In this paper, we establish a new coherent risk measure on Lp, which refer to as the monotone mean Lp-deviation measure. Then, related properties are discussed. Furthermore, from perspective of acceptance set, discuss relationship between and Sharpe ratio Finally, extend multivariate setting.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2023
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math11122706