Article citationsMore>>

Chen Zhiping, Li Yang, Daobao Xu, and Qianhui Hu. "Tail nonlinearly transformed risk measure and its application." OR Spec-trum (2011): 1-44. doi:10.1007/s00291-011-0271-2

has been cited by the following article:

• TITLE: A New Class of Time-Consistent Dynamic Risk Measures and its Application

  AUTHORS: Rui Gao, Zhiping Chen

  KEYWORDS: Dynamic Risk Measure; Time-Consistent; Cash-Subadditive; Portfolio Optimization; Stochastic Programming

  JOURNAL NAME: Technology and Investment, Vol.4 No.1B, January 17, 2013

  ABSTRACT: We construct a new time consistent dynamic convex cash-subadditive risk measure in this paper. Different from exist-ing measures, both potential loss and volatility of risky objects are considered. Based on a one-period measure that dis-torts financial values, punishes downside risk yet rewards upside potential, a dynamic time consistent version is con-structed recursively through a modified translation property. We then establish a portfolio selection model and give its optimal condition.