Distortion risk measure under parametric ambiguity
Hui Shao, Zhe George Zhang
| Year of publication: |
2023
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| Authors: | Shao, Hui ; Zhang, Zhe George |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 311.2023, 3 (16.12.), p. 1159-1172
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| Subject: | Distortion function | Extreme-case risk measure | Moment uncertainty | Risk analysis | Robust optimization | Theorie | Theory | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Entscheidung unter Risiko | Decision under risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.05.025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014440209