Maximum spectral measures of risk with given risk factor marginal distributions
Mario Ghossoub, Jesse Hall, David Saunders
| Year of publication: |
2023
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|---|---|
| Authors: | Ghossoub, Mario ; Hall, Jesse ; Saunders, David M. |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 48.2023, 2, p. 1158-1182
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| Subject: | dependence uncertainty | expected shortfall | Monge-Kantorovich duality | optimal transport | spectral risk measures | Theorie | Theory | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2022.1299 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314983