Comonotonic Measures of Multivariate Risks
Year of publication: |
2012
|
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Authors: | Henry, Marc ; Galichon, Alfred ; Ekeland, Ivar |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Comonotonicity | Maximal Correlation | Optimal Transportation | Regular Risk Measures | Coherent Risk Measures |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Mathematical Finance, 2012, Vol. 22, no. 1. pp. 109-132.Length: 23 pages |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G12 - Asset Pricing |
Source: |
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Comonotonic Measures of Multivariate Risks.
Henry, Marc, (2012)
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Comonotonic measures of multivariates risks
Galichon, Alfred, (2009)
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Napp, Clotilde, (2004)
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The housing problem and revealed preference theory: duality and an application
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Comonotonic Measures of Multivariate Risks.
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Comonotonic measures of multivariate risks
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