Multi-Variate risk measures under Wasserstein Barycenter
Year of publication: |
2022
|
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Authors: | Arias-Serna, M. Andrea ; Loubes, Jean Michel ; Caro-Lopera, Francisco J. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 10.2022, 9, Art.-No. 180, p. 1-15
|
Subject: | wasserstein barycenter | multi-variate risk measures | value-at-risk | conditional value-at-risk | location–scatter distributions | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks100901 [DOI] 10.3390/risks10090180 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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