Robust distortion risk measures
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel
| Year of publication: |
2024
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|---|---|
| Authors: | Bernard, Carole ; Pesenti, Silvana M. ; Vanduffel, Steven |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 34.2024, 3, p. 774-818
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| Subject: | distortion risk measures | distributional robustness | model uncertainty | Range Value-at-Risk | risk bounds | Wasserstein distance | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12414 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014565274