Inf-convolution and Optimal Allocations for Tail Risk Measures
Year of publication: |
2019
|
---|---|
Authors: | Liu, Fangda |
Other Persons: | Wang, Ruodu (contributor) ; Wei, Linxiao (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk |
Extent: | 1 Online-Ressource (25 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 19, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3490348 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof S., (2014)
-
Computationally tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof Stanisław, (2015)
-
Risk measures and nonlinear expectations
Chen, Zengjing, (2013)
- More ...
-
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda, (2022)
-
Is the Inf-convolution of Law-invariant Preferences Law-invariant?
Liu, Peng, (2020)
-
Is the inf-convolution of law-invariant preferences law-invariant?
Liu, Peng, (2020)
- More ...