On historical value at risk under distribution uncertainty
Atsushi Iizuka; Yumiharu Nakano
| Year of publication: |
2015
|
|---|---|
| Authors: | Iizuka, Atsushi ; Nakano, Yumiharu |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 2, p. 113-118
|
| Subject: | Value-at-Risk | Sublinear Expectation | Capacities | Glivenko-Cantelli Lemma | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Erwartungsbildung | Expectation formation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011398743