A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents
Samuel Drapeau; Michael Kupper; Antonis Papapantoleon
| Year of publication: |
2014
|
|---|---|
| Authors: | Drapeau, Samuel ; Kupper, Michael ; Papapantoleon, Antonis |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/14, 6, p. 3-29
|
| Subject: | Fourier-Analyse | Fourier analysis | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010476246