Inf-convolution and optimal allocations for mixed-VaRs
Zichao Xia, Zhenfeng Zou, Taizhong Hu
| Year of publication: |
2023
|
|---|---|
| Authors: | Xia, Zichao ; Zou, Zhenfeng ; Hu, Taizhong |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 108.2023, p. 156-164
|
| Subject: | Model uncertainty | Quantile | Risk measure | Risk sharing | Theorie | Theory | Risiko | Risk | Risikomaß | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013534516