Maximum spectral measures of risk with given risk factor marginal distributions
Year of publication: |
2023
|
---|---|
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
|
Subject: | dependence uncertainty | expected shortfall | Monge-Kantorovich duality | optimal transport | spectral risk measures | Risiko | Risk | Risikomaß | Risk measure | Theorie | Theory | Messung | Measurement | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis |
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