A review and some complements on quantile risk measures and their domain
Year of publication: |
December 2017
|
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Authors: | Fuchs, Sebastian ; Schlotter, Ruben ; Schmidt, Klaus D. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 5.2017, 4, p. 1-16
|
Subject: | integrated quantile functions | quantile riskmeasures | spectral riskmeasures | subadditivity | value at risk | expected shortfall | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Messung | Measurement |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks5040059 [DOI] hdl:10419/195788 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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