On historical value at risk under distribution uncertainty
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 | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution |
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