Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Year of publication: |
2013
|
---|---|
Authors: | Wang, Ruodu ; Peng, Liang ; Yang, Jingping |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 2, p. 395-417
|
Subject: | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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